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Realized Volatility Forecasting and Market Microstructure Noise

Andersen, Torben G., Bollerslev, Tim and Meddahi, Nour (2011) Realized Volatility Forecasting and Market Microstructure Noise. Journal of Econometrics, vol. 160 (n° 1). pp. 220-234.

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Official URL: http://tse-fr.eu/pub/21525
Item Type: Article
Language: English
Date: January 2011
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:45
Last Modified: 07 Mar 2018 13:20
OAI ID: oai:tse-fr.eu:21525
URI: http://publications.ut-capitole.fr/id/eprint/987

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