A new microstructure noise index
Year of publication: |
2011
|
---|---|
Authors: | Rosenbaum, Mathieu |
Published in: |
Quantitative Finance. - Taylor & Francis Journals, ISSN 1469-7688. - Vol. 11.2011, 6, p. 883-899
|
Publisher: |
Taylor & Francis Journals |
Subject: | Continuous time finance | Market microstructure | Financial econometrics | Inference for stochastic processes | Stochastic volatility | Fractional Brownian motion |
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