Variance disparity and market frictions
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Publication:2294445
DOI10.1016/J.JECONOM.2019.07.005zbMath1456.62255OpenAlexW2970158773WikidataQ127317188 ScholiaQ127317188MaRDI QIDQ2294445
Publication date: 11 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.federalreserve.gov/econres/feds/files/2019059pap.pdf
Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)
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