Microstructure noise and realized variance in the live cattle futures market
Year of publication: |
2019
|
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Authors: | Couleau, Anabelle ; Serra, Teresa ; García, Philip |
Published in: |
American journal of agricultural economics. - Hoboken, NJ : Wiley, ISSN 1467-8276, ZDB-ID 2026345-4. - Vol. 101.2019, 2, p. 563-578
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Subject: | Live cattle, futures | microstructure noise | realized variance | integrated variance | Marktmikrostruktur | Market microstructure | Rindermarkt | Cattle market | Warenbörse | Commodity exchange | Noise Trading | Noise trading | Varianzanalyse | Analysis of variance | Volatilität | Volatility | Theorie | Theory |
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