Measuring and Modeling Risk Using High-Frequency Data
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Publisher
Springer Berlin Heidelberg
Link
http://link.springer.com/content/pdf/10.1007/978-3-540-69179-2_13.pdf
Reference66 articles.
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3. Ole E. Barndorff-Nielsen, Peter R. Hansen, Asger Lunde and Neil Shephard (2008). Design-ing Realised Kernels to Measure the ex-post Variation of Equity Prices in the Presence of Noise, Econometrica, forthcoming.
4. L. Zhang, P. A. Mykland and Y. Ait-Sahalia (1005). A Tale of Two Time Scales: Determin-ing Integrated Volatility With Noisy High-Frequency Data, Journal of the American Statistical Association 100(472): 1394-1411.
5. R. Roll (1984). A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market, Journal of Finance 39: 1127-1139.
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