Zero-intelligence realized variance estimation

Finance and Stochastics

Volumn 14, Issue 2, 2010, Pages 249-283

  Gatheral, Jim ^a,b   Oomen, Roel C A ^c,d  

^a Merrill Lynch   (United States)

^b NEW YORK UNIVERSITY   (United States)

^c DEUTSCHE BANK AG   (Germany)

^d UNIVERSITY OF AMSTERDAM   (Netherlands)

Author keywords

Limit order book; Market microstructure noise; Micro price; Realized variance; Sampling schemes

Indexed keywords

EID: 77951256792     PISSN: 09492984     EISSN: None     Source Type: Journal    
DOI: 10.1007/s00780-009-0120-1     Document Type: Article

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