A new microstructure noise index (Q3019507)
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scientific article; zbMATH DE number 5933693
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| English | A new microstructure noise index |
scientific article; zbMATH DE number 5933693 |
Statements
A new microstructure noise index (English)
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28 July 2011
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continuous time finance
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market microstructure
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financial econometrics
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inference for stochastic processes
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stochastic volatility
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fractional Brownian motion
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0.7727847695350647
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0.7646816372871399
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0.7625795602798462
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0.755883514881134
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0.7366905808448792
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