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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.

Author: Bandi, Federico M., Russell, Jeffrey R.

Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006

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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.

Author: Bollerslev, Tim, Andersen, Torben G., Frederiksen, Per Houmann, Nielsen, Morten Orregaard

Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006

Denmark

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Article Abstract:

The applicability of economic theories to measure the impact of market microstructure noise on the volatility of stock prices is examined.

Author: Ghysels, Eric, Sinko, Arthur

Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006

Measurement, Economics, Economic theory

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Subjects list: United States, Analysis, Usage, Stocks, Forecasts and trends, Market trend/market analysis, Stock prices, Statistics, Statistics (Data), Volatility

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