Bootstrap refinements in tests of microstructure frictions

Thomas George (), Chuan-Yang Hwang () and Tavy Ronen ()

Review of Quantitative Finance and Accounting, 2010, vol. 35, issue 1, 47-70

Keywords: Pricing errors; Bootstrapping; Overnight information; Microstructure; G12; G14 (search for similar items in EconPapers)
Date: 2010
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DOI: 10.1007/s11156-009-0143-x

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