A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Year of publication: |
2009-03
|
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Authors: | Nagakura, Daisuke ; Watanabe, Toshiaki |
Institutions: | Institute for Monetary and Economic Studies, Bank of Japan |
Subject: | Realized Variance | Integrated Variance | Microstructure Noise |
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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke, (2009)
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Nagakura, Daisuke, (2011)
-
Nagakura, Daisuke, (2010)
- More ...
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A State Space Approach to Estimating the Integrated Variance and Microstructure Noise Component
Nagakura, Daisuke, (2009)
-
Nagakura, Daisuke, (2011)
-
Nagakura, Daisuke, (2010)
- More ...