How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Handbook of Financial Time Series Volume

Handbook of Financial Time Series Volume 49 || Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations

✍ Mikosch, Thomas; Kreiß, Jens-Peter; Davis, Richard A.; Andersen, Torben Gustav 📂 Article 📅 2009 🏛 Springer Berlin Heidelberg 🌐 German ⚖ 532 KB

The Handbook Of Financial Time Series Gives An Up-to-date Overview Of The Field And Covers All Relevant Topics Both From A Statistical And An Econometrical Point Of View. There Are Many Fine Contributions, And A Preamble By Nobel Prize Winner Robert F. Engle.