JASA Jan 03, 2025

When Frictions Are Fractional: Rough Noise in High-Frequency Data

Authors
Carsten H. Chong Thomas Delerue Guoying Li
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Paper Information
  • Journal:
    Journal of the American Statistical Association
  • DOI:
    10.1080/01621459.2024.2428466
  • Published:
    January 03, 2025
  • Added to Tracker:
    Jul 30, 2025
Author Details
Carsten H. Chong
Author
Thomas Delerue
Author
Guoying Li
Author
Citation Information
APA Format
Carsten H. Chong , Thomas Delerue & Guoying Li (2025) . When Frictions Are Fractional: Rough Noise in High-Frequency Data. Journal of the American Statistical Association , 10.1080/01621459.2024.2428466.
BibTeX Format
@article{paper402,
  title = { When Frictions Are Fractional: Rough Noise in High-Frequency Data },
  author = { Carsten H. Chong and Thomas Delerue and Guoying Li },
  journal = { Journal of the American Statistical Association },
  year = { 2025 },
  doi = { 10.1080/01621459.2024.2428466 },
  url = { https://www.tandfonline.com/doi/full/10.1080/01621459.2024.2428466 }
}
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