Least squares infernce on integrated volatility and the relationship between efficient prices and noise
Year of publication: |
2012
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Authors: | Nolte, Ingmar ; Voev, Valeri |
Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 30.2012, 1, p. 94-108
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Subject: | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Kleinste-Quadrate-Methode | Least squares method | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure |
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