On the correlation structure of microstructure noise : a financial economic approach
Francis X. Diebold and Georg Strasser
| Year of publication: |
2013
|
|---|---|
| Authors: | Diebold, Francis X. ; Strasser, Georg |
| Published in: |
The review of economic studies. - Oxford : Oxford Univ. Press, ISSN 0034-6527, ZDB-ID 209928-7. - Vol. 80.2013, 4, p. 1304-1337
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| Subject: | Realized volatility | Integrated volatility estimation | Market microstructure | High-frequency data | Microstructure noise | Noise correction | Structural volatility estimation | Volatilität | Volatility | Marktmikrostruktur | Noise Trading | Noise trading | Finanzmarkt | Financial market | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Extent: | graph. Darst. |
|---|---|
| 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/10010202113