Noise reduced realized volatility : a kalman filter approach
John P. Owens and Douglas G. Steigerwald
| Year of publication: |
2006
|
|---|---|
| Authors: | Owens, John P. ; Steigerwald, Douglas G. |
| Published in: |
Econometric analysis of financial and economic time series ; part a ; 20. - Amsterdam [u.a.] : Elsevier JAI, ISBN 0-7623-1274-2. - 2006, p. 211-227
|
| Subject: | Noise Trading | Noise trading | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Theorie | Theory | Zustandsraummodell | State space model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003331379