Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity
書誌事項
- タイトル
- Statistical Properties of Covariance Estimator of Microstructure Noise : Dependence, Rare Jumps and Endogeneity
- 著者
- M.Ubukata, K.Oya
収録刊行物
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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