Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''
| Year of publication: |
2019
|
|---|---|
| Authors: | Li, Z. Merrick |
| Other Persons: | Vellekoop, Michel (contributor) ; Laeven, Roger J. A. (contributor) |
| Publisher: |
[2019]: [S.l.] : SSRN |
| Subject: | Volatilität | Volatility | Marktmikrostruktur | Market microstructure | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading |
| Description of contents: |
Section A of this appendix contains detailed proofs of our results. In Sections B and C, we provide additional Monte Carlo simulation studies and empirical results
|
freely available
| Extent: | 1 Online-Ressource (32 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 12, 2019 erstellt |
| Other identifiers: | 10.2139/ssrn.3472122 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012860916