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~person:"van Dijk, Dick"
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Forecasting
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Market microstructure noise
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forecasting
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high frequency data
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market microstructure noise
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van Dijk, Dick
Gourène, Grakolet Arnold Zamereith
3
Mendy, Pierre
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Bannouh, Karim
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Baumgärtner, Stefan
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Dark, Jonathan
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Diallo, Patrice Racine
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Faber, Malte
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Galagedera, Don U.A.
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Klauer, Bernd
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Manstetten, Reiner
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Martens, Martin
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Michis, Antonis A.
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Oya, Kosuke
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Sayilir, Özlem
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Özer, Mustafa
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Abrami, G.
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Ake, Gilbert Marie N'gbo
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Altay-Salih, Aslihan
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Alvarez-Ramirez, Jose
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Bannouh, Bannouh, K.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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ERIM Report Series Research in Management
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The North American Journal of Economics and Finance
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Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
van Dijk, Dick
;
Bannouh, Bannouh, K.
;
Martens, Martens, …
-
Erasmus Research Institute of Management (ERIM), …
-
2012
-adjusted (two
time
scales
) realized range and (two
time
scales
) realized variance estimators. …
Persistent link: https://www.econbiz.de/10010837698
Saved in:
2
Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim
;
Martens, Martin
;
van Dijk, Dick
- In:
The North American Journal of Economics and Finance
26
(
2013
)
C
,
pp. 535-551
-adjusted (two
time
scales
) realized range and (two
time
scales
) realized variance estimators. …
Persistent link: https://www.econbiz.de/10010730241
Saved in:
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