Ultra high frequency volatility estimation with dependent microstructure noise
Year of publication: |
2010
|
---|---|
Authors: | Aït-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 160-175
|
Subject: | CAPM | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Marktmikrostruktur | Market microstructure |
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