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Article Abstract:

The evaluation of the conceptual framework used to measure the volatility of stock prices, based on the relation between market microstructure noise and the realized variance of high-frequency data, is presented.

Author: Diebold, Francis X.
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
Evaluation

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Article Abstract:

The evaluation of the model of the relation between market microstructure noise and the realized variance in high-frequency data on Dow Jones Industrial stocks is presented.

Author: Ait-Sahalia, Yacine, Zhang, Lan, Mykland, Per A.
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 utility of high-frequency data to determine the relation between market microstructure noise and the volatility of stock prices is examined.

Author: Barndorff-Nielsen, Ole E., Shephard, Neil
Publisher: American Statistical Association
Publication Name: Journal of Business & Economic Statistics
Subject: Mathematics
ISSN: 0735-0015
Year: 2006
United Kingdom, Denmark, Volatility

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