Assessing Market Microstructure Effects via Realized Volatility Measures with an Application to the Dow Jones Industrial Average Stocks (2009)

First Author: Awartani B
Attributed to:  Extraction of trend, cycle, and memory from economic and financial series funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1198/jbes.2009.0018

Publication URI: http://dx.doi.org/10.1198/jbes.2009.0018

Type: Journal Article/Review

Parent Publication: Journal of Business & Economic Statistics

Issue: 2