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Separating microstructure noise from volatility

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  • Bandi, Federico M.
  • Russell, Jeffrey R.

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  • Bandi, Federico M. & Russell, Jeffrey R., 2006. "Separating microstructure noise from volatility," Journal of Financial Economics, Elsevier, vol. 79(3), pages 655-692, March.
  • Handle: RePEc:eee:jfinec:v:79:y:2006:i:3:p:655-692
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    25. Beckers, Stan, 1983. "Variances of Security Price Returns Based on High, Low, and Closing Prices," The Journal of Business, University of Chicago Press, vol. 56(1), pages 97-112, January.
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