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Market microstructure noise
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Finance and Stochastics
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Bias-correcting the realized range-based variance in the presence of market microstructure noise
Christensen, Kim
;
Podolskij, Mark
;
Vetter, Mathias
- In:
Finance and Stochastics
13
(
2009
)
2
,
pp. 239-268
Persistent link: https://www.econbiz.de/10005613461
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Zero-intelligence realized variance estimation
Gatheral, Jim
;
Oomen, Roel
- In:
Finance and Stochastics
14
(
2010
)
2
,
pp. 249-283
Persistent link: https://www.econbiz.de/10008515590
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