Realized Variance and Market Microstructure Noise: Comment.

Gelijkaardige items

• Estimating quadratic variation using realized variance
  door: Barndorff-Nielsen, O, et al.
  Gepubliceerd in: (2002)
• Estimating Quadratic Variation Using Realized Variance.
  door: Barndorff-Nielsen, O, et al.
  Gepubliceerd in: (2002)
• Estimating Quadratic Variation Using Realized Variance.
  door: Barndorff-Nielsen, O, et al.
  Gepubliceerd in: (2001)
• Regular and Modified Kernel-Based Estimators of Integrated Variance: The Case with Independent Noise.
  door: Barndorff-Nielsen, O, et al.
  Gepubliceerd in: (2004)
• How Accurate Is the Asymptotic Approximation to the Distribution of Realised Variance?
  door: Barndorff-Nielsen, O, et al.
  Gepubliceerd in: (2005)