Härdle, Wolfgang (contributor); … - 2008
-varying
systematic risk within a conditional asset pricing model (CAPM).
13.2 Market Microstructure Effects
The consistency of the …. Since high-frequency prices are subject to
market microstructure noise, such as price-discreteness, bid-and-ask bounce …∗tj +εtj −εtj−1 (13.9)
follow an MA(1) process. Such a return specification is well established in
the market microstructure …