Microstructure noise, realized variance, and optimal sampling
Year of publication: |
2008
|
---|---|
Authors: | Bandi, F. M. ; Russell, Jeffrey R. |
Published in: |
The review of economic studies. - Oxford : Oxford Univ. Press, ISSN 0034-6527, ZDB-ID 209928-7. - Vol. 75.2008, 2, p. 339-369
|
Subject: | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Volatilität | Volatility | Schätztheorie | Estimation theory | Theorie | Theory |
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