Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data
Year of publication: |
2019
|
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Authors: | Li, Z. Merrick |
Other Persons: | Laeven, Roger J. A. (contributor) ; Vellekoop, Michel (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Schätzung | Estimation | Finanzmarkt | Financial market |
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: Journal of Econometrics, Forthcoming Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2019 erstellt |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; c55 ; c58 |
Source: | ECONIS - Online Catalogue of the ZBW |
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