Dependent microstructure noise and integrated volatility estimation from high-frequency data
Z. Merrick Li, Roger J. A. Laeven, Michel H. Vellekoop
| Year of publication: |
2020
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|---|---|
| Authors: | Li, Z. Merrick ; Laeven, Roger J. A. ; Vellekoop, Michel |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 215.2020, 2, p. 536-558
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| Subject: | Bias correction | Dependent microstructure noise | Integrated volatility | Pre-averaging method | Realized volatility | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Theorie | Theory | Noise Trading | Noise trading | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2019.10.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012439499