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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

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Author Info
Walter Distaso
Valentina Corradi
Basel Awartani
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File URL: http://www2.warwick.ac.uk/fac/soc/wbs/research/wfri/rsrchcentres/ferc/wrkingpaprseries/fwp04-06.pdf
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Paper provided by Warwick Business School, Financial Econometrics Research Centre in its series Working Papers with number wp04-06.

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Date of creation: 2004
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Handle: RePEc:wbs:wpaper:wp04-06

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  1. Ilze Kalnina & Oliver Linton, 2007. "Inference about Realized Volatility using Infill Subsampling," STICERD - Econometrics Paper Series /2007/523, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
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This page was last updated on 2009-12-1.

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