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Microstructure noise, realized variance, and optimal sampling
Bandi, F. M.; Russell, Jeffrey R. - In: The review of economic studies 75 (2008) 2, pp. 339-369
Persistent link: https://www.econbiz.de/10003678717
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Volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Financial engineering, (pp. 183-222). 2008
Persistent link: https://www.econbiz.de/10003567122
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Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of econometrics 160 (2011) 1, pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.; Russell, Jeffrey R.; Yang, Chen - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 3, pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
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Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.; Russell, Jeffrey R.; Zhu, Yinghua - In: Econometric reviews 27 (2008) 1/3, pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
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Separating microstructure noise from volatility
Bandi, Federico M.; Russell, Jeffrey R. - In: Journal of financial economics 79 (2006) 3, pp. 655-692
Persistent link: https://www.econbiz.de/10003289304