Open AccessRealized variance and market microstructure noise
Author(s) -
Peter Reinhard Hansen,
Asger Lunde
Publication year - 2006
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/z0eh-t834
Subject(s) - microstructure , variance (accounting) , noise (video) , market microstructure , econometrics , acoustics , computer science , materials science , mathematics , business , physics , artificial intelligence , composite material , image (mathematics) , accounting , finance , order (exchange)