Work

Microstructure noise, realized volatility, and optimal sampling

Year: 2004

Type: preprint

Source: RePEc: Research Papers in Economics

Authors: Jeffrey R. Russell, Federico M. Bandi

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2475901477

Cites:

Cited by: 49

Related to: 10