Ultra high frequency volatility estimation with dependent microstructure noise
Year of publication: |
2005
|
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Authors: | Ait-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan |
Publisher: |
Frankfurt a. M. : Deutsche Bundesbank |
Subject: | Mikrostrukturanalyse | Capital Asset Pricing Model | Zeitreihenanalyse | Theorie | Market microstructure | Serial dependence | High frequency data | Realized volatility | Subsampling | Two Scales Realized Volatility |
Series: | Discussion Paper Series 1 ; 2005,30 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 500983321 [GVK] hdl:10419/19615 [Handle] RePEc:zbw:bubdp1:4224 [RePEc] |
Source: |
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Ultra high frequency volatility estimation with dependent microstructure noise
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