Zero-intelligence realized variance estimation
| Year of publication: |
2010
|
|---|---|
| Authors: | Gatheral, Jim ; Oomen, Roel |
| Published in: |
Finance and Stochastics. - Springer. - Vol. 14.2010, 2, p. 249-283
|
| Publisher: |
Springer |
| Subject: | Limit order book | Market microstructure noise | Micro-price | Realized variance | Sampling schemes |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10008515590