Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations
Yacine Ai͏̈t-Sahalia and Per A. Mykland
| Year of publication: |
2009
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|---|---|
| Authors: | Aït-Sahalia, Yacine ; Mykland, Per A. |
| Published in: |
Handbook of financial time series. - Berlin, Heidelberg : Springer, ISBN 3-540-71296-8. - 2009, p. 577-598
|
| Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003834187