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Recent Publications

Cambridge Working Papers in Economics

Li, Z. M., Laeven, R. J. A. and Vellekoop, M. H. Dependent Microstructure Noise and Integrated Volatility: Estimation from High-Frequency Data, (2019) CWPE1952
Merrick Li, Z., Linton, O Robust Measures of Microstructure Noise, (2019) CWPE1908

Dr Merrick Li

INET Research Associate

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