Comment

Journal of Business and Economic Statistics

Volumn 24, Issue 2, 2006, Pages 167-173

  Bandi, Federico M ^a   Russell, Jeffrey R ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 33646522742     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/073500106000000107     Document Type: Note

References (6)

1. Bandi, F. M., and Russell, J. R. (2005a), "Microstructure Noise, Realized Variance, and Optimal Sampling,"working paper, University of Chicago, Graduate School of Business.
2. _ (2005b), "Separating Microstructure Noise From Volatility,"Journal of Financial Economics, 79, 655-692.
3. _ (2005c), "Volatility,"in Handbook of Financial Engineering, eds. J. R. Birge and V. Linetski, Amsterdam: Elsevier/North-Holland, forthcoming.
4. _ (2005d), "Market Microstructure Noise, Integrated Variance Estimators, and the Limitations of Asymptotic Approximations: A Solution,"working paper, University of Chicago, Graduate School of Business.
5. Fleming, J., Kirby, C., and Ostdiek, B. (2001), "The Economic Value of Volatility Timing,"Journal of Finance, 56, 329-352.
6. Hasbrouck, J. (2006), Empirical Market Microstructure, Oxford University Press, forthcoming.