Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Year of publication: |
2010
|
---|---|
Authors: | Bandi, Federico M. ; Russell, Jeffrey R. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 145-159
|
Subject: | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Varianzanalyse | Analysis of variance |
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