Estimating Integrated Variance in the Presence of Microstructure Noise Using Linear Regression

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61384399%3A31140%2F17%3A00050772" target="_blank" >RIV/61384399:31140/17:00050772 - isvavai.cz</a>
Result on the web
<a href="http://aip.scitation.org/doi/abs/10.1063/1.4992736" target="_blank" >http://aip.scitation.org/doi/abs/10.1063/1.4992736</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1063/1.4992736" target="_blank" >10.1063/1.4992736</a>

Result language
angličtina
Original language name
Estimating Integrated Variance in the Presence of Microstructure Noise Using Linear Regression
Original language description
Main topics of the document: high-frequency data; market microstructure noise; integrated variance; linear regression
Czech name
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Czech description
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Publication year
2017
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Result description