Volatility and covariation estimation when microstructure noise and trading times are endogenous
Christian Yann Robert; Mathieu Rosenbaum
| Year of publication: |
2012
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|---|---|
| Authors: | Robert, Christian Yann ; Rosenbaum, Mathieu |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 22.2012, 1, p. 133-164
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| Subject: | Börsenkurs | Share price | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009554688