Measuring the Relevance of the Microstructure Noise in Financial Data
Year of publication: |
2012
|
---|---|
Authors: | Mancini, Cecilia |
Publisher: |
[2012]: [S.l.] : SSRN |
Subject: | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Finanzmarkt | Financial market | Messung | Measurement | Börsenkurs | Share price |
Extent: | 1 Online-Ressource (30 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 16, 2012 erstellt |
Other identifiers: | 10.2139/ssrn.1961224 [DOI] |
Classification: | C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C60 - Mathematical Methods and Programming. General ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Chen, Richard, (2017)
-
Price Discovery and Market Microstructure Noise
Fruet Dias, Gustavo, (2021)
-
Bos, Charles S., (2008)
- More ...
-
Spot volatility estimation using delta sequences
Mancini, Cecilia, (2015)
-
Truncated Realized Covariance when prices have infinite variation jumps.
Mancini, Cecilia, (2015)
-
Threshold estimation of Markov models with jumps and interest rate modeling
Mancini, Cecilia, (2011)
- More ...