Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
By F. Bandi, Jeffrey R. Russell. 2011
82 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/73e81e7b238fc391de84fea67d8965d86f9efc98
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In Economics and Econometrics
In Finance
Citations in the corpus
- Quasi-maximum likelihood estimation of volatility with high frequency data (2010, background): “All errors are mine.”