Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading … efficient yet robust to market microstructure noise arising from bid-ask
bounce and asynchronous trading. Finally, we provide …, absence of arbitrage,
exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading
1
The …
