Finite sample accuracy and choice of sampling frequency in integrated volatility extimation
Year of publication: |
2008
|
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Authors: | Nielsen, Morten Ørregaard ; Frederiksen, Per |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 15.2008, 2, p. 265-286
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Subject: | Geld-Brief-Spanne | Bid-ask spread | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
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