Realized Variance and Market Microstructure Noise - Comment

Author

Peter C. B. PHILLIPS, Singapore Management UniversityFollow
Jun YU, Singapore Management UniversityFollow

Publication Type

Journal Article

Version

publishedVersion

Publication Date

2006

Discipline

Econometrics

Research Areas

Econometrics

Publication

Journal of Business and Economic Statistics

Volume

24

Issue

2

First Page

202

Last Page

208

ISSN

0735-0015

Publisher

American Statistical Association

Citation

PHILLIPS, Peter C. B. and YU, Jun. Realized Variance and Market Microstructure Noise - Comment. (2006). Journal of Business and Economic Statistics. 24, (2), 202-208.
Available at: https://ink.library.smu.edu.sg/soe_research/355

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