Realized volatility forecasting and market microstructure noise
Torben G. Andersen; Tim Bollerslev; Nour Meddahi
| Year of publication: |
2010
|
|---|---|
| Authors: | Andersen, Torben ; Bollerslev, Tim ; Meddahi, Nour |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 160.2011, 1, p. 220-234
|
| Subject: | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Noise Trading | Noise trading | Schätztheorie | Estimation theory |
| 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/10009242523