High frequency market microstructure noise estimates and liquidity measures
Year of publication: |
2008
|
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Authors: | Aït-Sahalia, Yacine ; Yu, Jialin |
Publisher: |
Cambridge, Mass. : National Bureau of Economic Research |
Subject: | Portfolio-Management | Portfolio selection | Noise Trading | Noise trading | CAPM | Wertpapierhandel | Securities trading | Kapitaleinkommen | Capital income | Volatilität | Volatility | USA | United States | 1995-2005 |
Extent: | 40 S. graph. Darst. |
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Series: | Working paper / National Bureau of Economic Research, Inc.. - Cambridge, Mass. : National Bureau of Economic Research, Inc., ISSN 0898-2937, ZDB-ID 1223905-7. - Vol. 13825 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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