Bias-correcting the realized range-based variance in the presence of market microstructure noise
Kim Christensen; Mark Podolskij; Mathias Vetter
| Year of publication: |
2009
|
|---|---|
| Authors: | Christensen, Kim ; Podolskij, Mark ; Vetter, Mathias |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 13.2009, 2, p. 239-268
|
| Subject: | Marktmikrostruktur | Market microstructure | Varianzanalyse | Analysis of variance | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003939513