Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
by Alain Chaboud, Benjamin Chiquoine, Erik Hjalmarsson and Mico Loretan
| Year of publication: |
Febr. 2008
|
|---|---|
| Authors: | Chaboud, Alain ; Chiquoine, Benjamin ; Hjalmarsson, Erik ; Loretan, Mico |
| Publisher: |
Basel : Bank for Internat. Settlements |
| Subject: | Staatspapier | Government securities | Volatilität | Volatility | Kapitaleinkommen | Capital income | Stichprobenerhebung | Sampling | Marktmikrostruktur | Market microstructure | Rentenmarkt | Bond market | Devisenmarkt | Foreign exchange market | USA | United States | 2005 |
| Extent: | 46 S. graph. Darst. 30 cm |
|---|---|
| Series: | BIS working papers. - Basle, ISSN 1020-0959, ZDB-ID 1482126-6. - Vol. 249 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003675595