@techreport{NBERw13825,
 title = "High Frequency Market Microstructure Noise Estimates and Liquidity Measures",
 author = "Yacine Ait-Sahalia and Jialin Yu",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "13825",
 year = "2008",
 month = "February",
 URL = "http://www.nber.org/papers/w13825",
}