Information loss in volatility measurement with flat price trading
Peter C.B. Phillips, Jun Yu
| Year of publication: |
2023
|
|---|---|
| Authors: | Phillips, Peter C. B. ; Yu, Jun |
| Subject: | Bernoulli process | Brownian semimartingale | Calvo pricing | Flat trading | Microstructure noise | Quarticity function | Realized volatility | Stopping times | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Theorie | Theory | Marktmechanismus | Market mechanism | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00181-022-02353-y [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014329021