Comment on "Realized Variance and Market Microstructure Noise" by Peter R. Hansen and Asger Lunde
With the availability of ultra high frequency financial data, the task of finding an appropriate econometric model to describe the movement of financial variables at the tick-by-tick level has become an important goal in financial econometric research. The task has both theoretical and empirical dim...
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Main Authors: | PHILLIPS, Peter C. B., YU, Jun |
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Format: | text |
Language: | English |
Published: |
Institutional Knowledge at Singapore Management University
2005
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Online Access: | https://ink.library.smu.edu.sg/soe_research/855 https://ink.library.smu.edu.sg/context/soe_research/article/1854/viewcontent/PhillipsYuCommentsJBES.pdf |
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Institution: | Singapore Management University |
Language: | English |
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