Comment

Journal of Business and Economic Statistics

Volumn 24, Issue 2, 2006, Pages 202-208

  Phillips, Peter C B ^a,b,c   Yu, Jun ^d  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF YORK   (United Kingdom)

^d SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646496601     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000116     Document Type: Note

References (5)

1. Cleseland, W. S., and Devlin, S. J. (1988), "Locally Weighted Regression: An Approach to Regression Analysis by Local Fitting." Journal of the American Statistical Association, 83, 596-610.
2. Friedman, J. H. (1984), "A Variable Span Smoother," Technical Report 5, Stanford University, Laboratory for Computational Statistics, Dept. of Statistics,
3. Maheswaran, S., and Sims, C. A. (1993), "Empirical Implications of Arbitrage-Free Asset Markets." in Models, Methods and Applications in Econometrics, ed. P. C. B. Phillips, London: Blackwell, pp. 301-316.
4. Phillips, P. C. B., and Yu, J. (2005a). "The Volatility Signature of Market Microstructure Noise." working paper. Singapore Management University.
5. _ (2005b), "Realized Volatility and Microstructure Noise Modeling," working paper. Singapore Management University.