Work

Microstructure Noise in the Continuous Case: The Pre-Averaging Approach - JLMPV-9

Year: 2008

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1150685

Authors: Jean Jacod, Yingying Li, Per A. Mykland, Mark Podolskij, Mathias Vetter

Institutions: Université Pierre-et-Marie-Curie, Hong Kong University of Science and Technology, University of Chicago, Aarhus University, Ruhr University Bochum

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W3023201713

Cites: 39

Cited by: 25

Related to: 10