Ultra high frequency volatility estimation with dependent microstructure noise
Yacine Aït-Sahalia ; Per A. Mykland ; Lan Zhang
| Year of publication: |
2005
|
|---|---|
| Authors: | Aït-Sahalia, Yacine ; Mykland, Per A. ; Zhang, Lan |
| Publisher: |
Frankfurt am Main : Dt. Bundesbank |
| Subject: | Mikrostrukturtheorie <Kapitalmarkttheorie> | Capital-Asset-Pricing-Modell | Zeitreihenanalyse |
| Extent: | 51 S. : graph. Darst. |
|---|---|
| Series: | Discussion paper / Volkswirtschaftliches Forschungszentrum, Deutsche Bundesbank / Series 1, Studies of the Economic Research Center. - Frankfurt <Main>. - Vol. 2005,30 |
| Type of publication: | Book / Working Paper |
| Language: | English ; German |
| Notes: | Zsfassung in dt. und engl. Sprache |
| ISBN: | 3-86558-084-X |
| Classification: | Investition, Finanzierung |
| Source: |
Persistent link: https://www.econbiz.de/10004863477