Realized Variance and Microstructure Noise -- Comment

Author

Peter Charles Bonest Phillips, Singapore Management UniversityFollow
Jun Yu, Singapore Management UniversityFollow

Publication Type

Journal Article

Publication Date

2006

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

Volume

24

First Page

202

Last Page

208

ISSN

0735-0015

Citation

Phillips, Peter Charles Bonest and Yu, Jun. Realized Variance and Microstructure Noise -- Comment. (2006). Journal of Business and Economic Statistics. 24, 202-208.
Available at: https://ink.library.smu.edu.sg/soe_research/353