A Unified Approach to Volatility Estimation in the Presence of Both Rounding and Random Market Microstructure Noise
Year of publication: |
2017
|
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Authors: | Li, Yingying |
Other Persons: | Zhang, Zhiyuan (contributor) ; Li, Yichu (contributor) |
Publisher: |
[2017]: [S.l.] : SSRN |
Subject: | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätztheorie | Estimation theory | Noise Trading | Noise trading |
Extent: | 1 Online-Ressource (78 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 21, 2017 erstellt |
Other identifiers: | 10.2139/ssrn.2707177 [DOI] |
Classification: | G12 - Asset Pricing ; C22 - Time-Series Models ; C14 - Semiparametric and Nonparametric Methods |
Source: | ECONIS - Online Catalogue of the ZBW |
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