Ultra high frequency volatility estimation with dependent microstructure noise:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cambridge, Mass.
National Bureau of Economic Research
2005
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| Schriftenreihe: | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series
11380 |
| Schlagworte: | |
| Online-Zugang: | kostenfrei |
| Beschreibung: | 41 S. graph. Darst. |
Internformat
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| id | DE-604.BV023591504 |
| illustrated | Illustrated |
| index_date | 2024-07-02T22:41:28Z |
| indexdate | 2024-07-09T21:25:11Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016906834 |
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| physical | 41 S. graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | National Bureau of Economic Research |
| record_format | marc |
| series | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| series2 | National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series |
| spelling | Aït-Sahalia, Yacine Verfasser (DE-588)128764465 aut Ultra high frequency volatility estimation with dependent microstructure noise Yacine Aït-Sahalia ; Per A. Mykland ; Lan Zhang Cambridge, Mass. National Bureau of Economic Research 2005 41 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11380 Ökonometrisches Modell Assets (Accounting) Prices Econometric models Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Zeitreihenanalyse (DE-588)4067486-1 s DE-604 Mykland, Per A. Verfasser (DE-588)124786138 aut Zhang, Lan Verfasser (DE-588)128978996 aut Erscheint auch als Online-Ausgabe National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series 11380 (DE-604)BV002801238 11380 http://papers.nber.org/papers/w11380.pdf kostenfrei Volltext |
| spellingShingle | Aït-Sahalia, Yacine Mykland, Per A. Zhang, Lan Ultra high frequency volatility estimation with dependent microstructure noise National Bureau of Economic Research <Cambridge, Mass.>: NBER working paper series Ökonometrisches Modell Assets (Accounting) Prices Econometric models Zeitreihenanalyse (DE-588)4067486-1 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4508395-2 (DE-588)4121078-5 |
| title | Ultra high frequency volatility estimation with dependent microstructure noise |
| title_auth | Ultra high frequency volatility estimation with dependent microstructure noise |
| title_exact_search | Ultra high frequency volatility estimation with dependent microstructure noise |
| title_exact_search_txtP | Ultra high frequency volatility estimation with dependent microstructure noise |
| title_full | Ultra high frequency volatility estimation with dependent microstructure noise Yacine Aït-Sahalia ; Per A. Mykland ; Lan Zhang |
| title_fullStr | Ultra high frequency volatility estimation with dependent microstructure noise Yacine Aït-Sahalia ; Per A. Mykland ; Lan Zhang |
| title_full_unstemmed | Ultra high frequency volatility estimation with dependent microstructure noise Yacine Aït-Sahalia ; Per A. Mykland ; Lan Zhang |
| title_short | Ultra high frequency volatility estimation with dependent microstructure noise |
| title_sort | ultra high frequency volatility estimation with dependent microstructure noise |
| topic | Ökonometrisches Modell Assets (Accounting) Prices Econometric models Zeitreihenanalyse (DE-588)4067486-1 gnd Mikrostrukturtheorie Kapitalmarkttheorie (DE-588)4508395-2 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Ökonometrisches Modell Assets (Accounting) Prices Econometric models Zeitreihenanalyse Mikrostrukturtheorie Kapitalmarkttheorie Capital-Asset-Pricing-Modell |
| url | http://papers.nber.org/papers/w11380.pdf |
| volume_link | (DE-604)BV002801238 |
| work_keys_str_mv | AT aitsahaliayacine ultrahighfrequencyvolatilityestimationwithdependentmicrostructurenoise AT myklandpera ultrahighfrequencyvolatilityestimationwithdependentmicrostructurenoise AT zhanglan ultrahighfrequencyvolatilityestimationwithdependentmicrostructurenoise |