Finite Sample Accuracy of Integrated Volatility Estimators
Year of publication: |
2005-01
|
---|---|
Authors: | Nielsen, Morten Ørregaard ; Frederiksen, Per Houmann |
Institutions: | Economics Department, Queen's University |
Subject: | Bid-ask bounce | finite sample bias | integrated volatility | long memory | market microstructure | Monte Carlo simulation | realized volatility | wavelet |
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