A Tale of Two Time Scales
Top Cited Papers
- 1 December 2005
- journal article
- Published by Taylor & Francis in Journal of the American Statistical Association
- Vol. 100 (472) , 1394-1411
- https://doi.org/10.1198/016214505000000169
Abstract
It is a common practice in finance to estimate volatility from the sum of frequently sampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenc...Keywords
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