On estimating market microstructure noise variance (Q1672752)
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scientific article; zbMATH DE number 6934686
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On estimating market microstructure noise variance |
scientific article; zbMATH DE number 6934686 |
Statements
On estimating market microstructure noise variance (English)
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11 September 2018
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microstructure noise
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noise-to-signal ratio
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realized variance
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high-frequency data
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0.9519073
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0.90695614
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0.9040834
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0.9000564
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0.8988553
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0.89661247
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0.8955164
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0.89143926
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