Comment
Article Abstract:
The methods of determining the volatility of stock prices, based on the impact of market microstructure noise on the realized variance of high-frequency data from the Dow Jones Industrial Averages, are described.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Comment
Article Abstract:
The sampling techniques to be used to examine the impact of market microstructure noises on realized variance in high-frequency data on Dow Jones Industrial Average stocks are described.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
User Contributions:
Comment about this article or add new information about this topic:
Comment
Article Abstract:
The applicability of economic theories to measure the impact of market microstructure noise on the volatility of stock prices is examined.
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
User Contributions:
Comment about this article or add new information about this topic: