Assessing market microstructure effects via realized volatility measures with an application to the dow Jones industrial average stocks

Journal of Business and Economic Statistics

Volumn 27, Issue 2, 2009, Pages 251-265

  Awartani, Basel ^a   Corradi, Valentina ^b   Distaso, Walter ^c  

^a NEW YORK INSTITUTE OF TECHNOLOGY   (United States)

^b UNIVERSITY OF WARWICK   (United Kingdom)

^c IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Jumps; Market microstructure; Power variation; Realized volatility

Indexed keywords

EID: 77950788894     PISSN: 07350015     EISSN: None     Source Type: Journal    
DOI: 10.1198/jbes.2009.0018     Document Type: Article

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