On estimating market microstructure noise variance
Yingjie Dong, Yiu-Kuen Tse
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Dong, Yingjie ; Tse, Yiu Kuen |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 150.2017, p. 59-62
|
| Subject: | Microstructure noise | Noise-to-signal ratio | Realized variance | High-frequency data | Marktmikrostruktur | Market microstructure | Varianzanalyse | Analysis of variance | Noise Trading | Noise trading | Volatilität | Volatility | Schätztheorie | Estimation theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2016.11.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011762850