Zero-intelligence realized variance estimation

Jim Gatheral and Roel Oomen

Finance and Stochastics, 2010, vol. 14, issue 2, 249-283

Keywords: Limit order book; Market microstructure noise; Micro-price; Realized variance; Sampling schemes; 62E20; 62P20; C10; C80 (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (42)

Downloads: (external link)
http://hdl.handle.net/10.1007/s00780-009-0120-1 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:finsto:v:14:y:2010:i:2:p:249-283

Ordering information: This journal article can be ordered from
http://www.springer. ... ance/journal/780/PS2

DOI: 10.1007/s00780-009-0120-1

Access Statistics for this article

Finance and Stochastics is currently edited by M. Schweizer

More articles in Finance and Stochastics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().