Microstructure noise and realized variance in the live cattle futures market
Anabelle Couleau, Teresa Serra, Philip Garcia
| Year of publication: |
2019
|
|---|---|
| Authors: | Couleau, Anabelle ; Serra, Teresa ; García, Philip |
| Published in: |
American journal of agricultural economics. - Hoboken, NJ : Wiley, ISSN 1467-8276, ZDB-ID 2026345-4. - Vol. 101.2019, 2, p. 563-578
|
| Subject: | Live cattle, futures | microstructure noise | realized variance | integrated variance | Marktmikrostruktur | Market microstructure | Warenbörse | Commodity exchange | Rindermarkt | Cattle market | Volatilität | Volatility | Varianzanalyse | Analysis of variance | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/ajae/aay052 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012114677