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Article Abstract:
The methods of defining the parameters for market microstructure noise during the measurement of volatility of stock prices are described.
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
United Kingdom, Stock markets, Stock market
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
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Comment
Article Abstract:
The statistical methods used to determine the impact of market microstructure noise on the volatility of stock prices are described.
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
Canada, Usage, Statistical methods
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:
Subjects list: Analysis, Stocks, Forecasts and trends, Measurement, Market trend/market analysis, Stock prices, Volatility
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