Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise
| Year of publication: |
2016
|
|---|---|
| Authors: | Aït-Sahalia, Yacine |
| Other Persons: | Mykland, Per A. (contributor) ; Zhang, Lan (contributor) |
| Publisher: |
[2016]: [S.l.] : SSRN |
| Subject: | Theorie | Theory | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | CAPM | Volatilität | Volatility |
| Description of contents: |
We analyze the impact of time series dependence in market microstructure noise on the properties of
|
freely available
| Extent: | 1 Online-Ressource (60 p) |
|---|---|
| Series: | Bundesbank Series 1 Discussion Paper ; No. 2005,30 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2005 erstellt |
| Other identifiers: | 10.2139/ssrn.2785213 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012991211