Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Masato Ubukata and Kosuke Oya
| Year of publication: |
2009
|
|---|---|
| Authors: | Ubukata, Masato ; Oya, Kosuke |
| Published in: |
Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering. - Singapore : World Scientific Pub Co Inc, ISBN 981-4273-46-5. - 2009, p. 201-218
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| Subject: | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Korrelation | Correlation | Noise Trading | Noise trading | Kapitaleinkommen | Capital income | Volatilität | Volatility | Statistische Methodenlehre | Statistical theory | Börsenkurs | Share price |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10003871191