Bias-correcting the realized range-based variance in the presence of market microstructure noise
| Year of publication: |
2009
|
|---|---|
| Authors: | Christensen, Kim ; Podolskij, Mark ; Vetter, Mathias |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 13.2009, 2, p. 239-268
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| Publisher: |
Springer |
| Subject: | Bias correction | Integrated variance | Market microstructure noise | Realized range-based variance | Realized variance |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005613461