A tale of two time scales: determining integrated volatility with noisy high-frequency data
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| Main Authors: | , , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Cambridge, Mass.
National Bureau of Economic Research
2003
|
| Series: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
10111 |
| Subjects: | |
| Online Access: | Volltext |
| Physical Description: | 29 S. |
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| spelling | Zhang, Lan Verfasser (DE-588)128978996 aut A tale of two time scales determining integrated volatility with noisy high-frequency data Lan Zhang ; Per A. Mykland ; Yacine Ait-Sahalia Cambridge, Mass. National Bureau of Economic Research 2003 29 S. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 10111 Ökonometrisches Modell Rate of return Econometric models Mykland, Per A. Verfasser (DE-588)124786138 aut Aït-Sahalia, Yacine Verfasser (DE-588)128764465 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 10111 (DE-604)BV002801238 10111 http://papers.nber.org/papers/w10111.pdf kostenfrei Volltext |
| spellingShingle | Zhang, Lan Mykland, Per A. Aït-Sahalia, Yacine A tale of two time scales determining integrated volatility with noisy high-frequency data National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Rate of return Econometric models |
| title | A tale of two time scales determining integrated volatility with noisy high-frequency data |
| title_auth | A tale of two time scales determining integrated volatility with noisy high-frequency data |
| title_exact_search | A tale of two time scales determining integrated volatility with noisy high-frequency data |
| title_exact_search_txtP | A tale of two time scales determining integrated volatility with noisy high-frequency data |
| title_full | A tale of two time scales determining integrated volatility with noisy high-frequency data Lan Zhang ; Per A. Mykland ; Yacine Ait-Sahalia |
| title_fullStr | A tale of two time scales determining integrated volatility with noisy high-frequency data Lan Zhang ; Per A. Mykland ; Yacine Ait-Sahalia |
| title_full_unstemmed | A tale of two time scales determining integrated volatility with noisy high-frequency data Lan Zhang ; Per A. Mykland ; Yacine Ait-Sahalia |
| title_short | A tale of two time scales |
| title_sort | a tale of two time scales determining integrated volatility with noisy high frequency data |
| title_sub | determining integrated volatility with noisy high-frequency data |
| topic | Ökonometrisches Modell Rate of return Econometric models |
| topic_facet | Ökonometrisches Modell Rate of return Econometric models |
| url | http://papers.nber.org/papers/w10111.pdf |
| volume_link | (DE-604)BV002801238 |
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