On the Correlation Structure of Microstructure Noise: A Financial Economic Approach (Q4610613)

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scientific article; zbMATH DE number 7005331
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On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
scientific article; zbMATH DE number 7005331

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    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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