Showing 1 - 10 of 32
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using volatility signature...
Persistent link: https://www.econbiz.de/10014087975
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market micro-structure noise. We find that one can...
Persistent link: https://www.econbiz.de/10014218882
Persistent link: https://www.econbiz.de/10001334914
Persistent link: https://www.econbiz.de/10001464198
Persistent link: https://www.econbiz.de/10000792321
Persistent link: https://www.econbiz.de/10000880475
Persistent link: https://www.econbiz.de/10001158653
Persistent link: https://www.econbiz.de/10001114334
Persistent link: https://www.econbiz.de/10000645979
Persistent link: https://www.econbiz.de/10003997434