On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613)
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scientific article; zbMATH DE number 7005331
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the Correlation Structure of Microstructure Noise: A Financial Economic Approach |
scientific article; zbMATH DE number 7005331 |
Statements
On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (English)
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23 January 2019
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realized volatility
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integrated volatility estimation
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market microstructure
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high-frequency data
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microstructure noise
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noise correction
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structural volatility estimation
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