Microstructure Noise, Realized Variance, and Optimal Sampling

DOI10.1111/j.1467-937X.2008.00474.xzbMath1138.91394OpenAlexW1998856889MaRDI QIDQ3502142

Jeffrey R. Russell, Federico M. Bandi

Publication date: 22 May 2008

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-937x.2008.00474.x

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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