Ultra high frequency volatility estimation with dependent microstructure noise - Aït-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan (National Bureau of Economic Research, 2005)
Keywords: Ökonometrisches Modell; Assets (Accounting) -- Prices -- Econometric models; Zeitreihenanalyse; Mikrostrukturtheorie -- Kapitalmarkttheorie; Capital-Asset-Pricing-Modell