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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous

Empirical FinanceBias-corrected EstimatorEconomicsFinancial EconomicsAsset PricingCovariation MatrixPrice FormationBusinessEconomic AnalysisEconometricsEconometric MethodStatisticsFinanceMultiple Security Prices