Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Year of publication: |
2010
|
---|---|
Authors: | Griffin, Jim E. ; Oomen, Roel C. A. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 58-68
|
Subject: | Marktmikrostruktur | Market microstructure | Theorie | Theory | Noise Trading | Noise trading | Volatilität | Volatility |
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