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

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