Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Federico M. Bandi; Jeffrey R. Russell
| Year of publication: |
2010
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|---|---|
| Authors: | Bandi, Federico M. ; Russell, Jeffrey R. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 145-159
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| Subject: | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Varianzanalyse | Analysis of variance | Noise Trading | Noise trading | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009242529