Volatility, information feedback and market microstructure noise: A tale of two regimes
Year of publication: |
2017
|
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Authors: | Andersen, Torben G. ; Cebiroglu, Gökhan ; Hautsch, Nikolaus |
Publisher: |
Frankfurt a. M. : Goethe University Frankfurt, Center for Financial Studies (CFS) |
Subject: | volatility estimation | market microstructure noise | price reversal | momentum trading | contrarian trading |
Series: | CFS Working Paper Series ; 569 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 881436933 [GVK] hdl:10419/156102 [Handle] RePEc:zbw:cfswop:569 [RePEc] |
Classification: | c58 ; C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Volatility, information feedback and market microstructure noise : a tale of two regimes
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Volatility, information feedback and market microstructure noise : a tale of two regimes
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