Separating microstructure noise from volatility
| Year of publication: |
2006
|
|---|---|
| Authors: | Bandi, Federico M. ; Russell, Jeffrey R. |
| Published in: |
Journal of Financial Economics. - Elsevier, ISSN 0304-405X. - Vol. 79.2006, 3, p. 655-692
|
| Publisher: |
Elsevier |