Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity
Bibliographic Information
- Title
- Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity
- Author
- M.Ubukata, K.Oya
Journal
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- World Scientific"Recent Advances in Financial Engineering"
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World Scientific"Recent Advances in Financial Engineering" 201-218, 2009
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Details 詳細情報について
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- CRID
- 1010000782441803538
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- Article Type
- journal article
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- Data Source
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- KAKEN