scholarly journals Decimalization, Realized Volatility, and Market Microstructure Noise

2010 ◽  
Author(s):  
Tommi A. Vuorenmaa
Keyword(s):  
Market Microstructure ◽  
Realized Volatility ◽  
Microstructure Noise ◽  
Market Microstructure Noise

scholarly journals Stationary bootstrapping realized volatility under market microstructure noise

2013 ◽  
Vol 7 (0) ◽  
pp. 2032-2053 ◽  
Author(s):  
Eunju Hwang ◽  
Dong Wan Shin
Keyword(s):  
Market Microstructure ◽  
Realized Volatility ◽  
Microstructure Noise ◽  
Market Microstructure Noise

Realized volatility forecasting and market microstructure noise

2011 ◽  
Vol 160 (1) ◽  
pp. 220-234 ◽  
Author(s):  
Torben G. Andersen ◽  
Tim Bollerslev ◽  
Nour Meddahi
Keyword(s):  
Market Microstructure ◽  
Realized Volatility ◽  
Microstructure Noise ◽  
Volatility Forecasting ◽  
Market Microstructure Noise

scholarly journals Realized Variance and Market Microstructure Noise

2005 ◽  
Author(s):  
Peter Reinhard Hansen ◽  
Asger Lunde
Keyword(s):  
Market Microstructure ◽  
Microstructure Noise ◽  
Realized Variance ◽  
Market Microstructure Noise

Jumps in equilibrium prices and market microstructure noise

2012 ◽  
Vol 168 (2) ◽  
pp. 396-406 ◽  
Author(s):  
Suzanne S. Lee ◽  
Per A. Mykland
Keyword(s):  
Market Microstructure ◽  
Microstructure Noise ◽  
Market Microstructure Noise ◽  
Equilibrium Prices

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

2006 ◽  
pp. 3-72 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Per A. Mykland ◽  
Lan Zhang
Keyword(s):  
Market Microstructure ◽  
Continuous Time ◽  
Time Process ◽  
Microstructure Noise ◽  
Market Microstructure Noise ◽  
Continuous Time Process
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