Bootstrap refinements in tests of microstructure frictions
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Bibliographic InfoArticle provided by Springer in its journal Review of Quantitative Finance and Accounting.
Volume (Year): 35 (2010)
Issue (Month): 1 (July)
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Web page: http://springerlink.metapress.com/link.asp?id=102990
Pricing errors; Bootstrapping; Overnight information; Microstructure; G12; G14;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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