Statistical Models for High Frequency Security Prices
Year of publication: |
2004-08-11
|
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Authors: | Oomen, Roel C.A. |
Institutions: | Econometric Society |
Subject: | Compound Poisson Process | High Frequency Data | Market Microstructure | Characteristic Function | OU Process | Realized Variance Bias | Optimal Sampling |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | The text is part of a series Econometric Society North American Winter Meetings 2004 Number 77 |
Classification: | C32 - Time-Series Models ; C51 - Model Construction and Estimation |
Source: |
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