Most Efficient Homogeneous Volatility Estimators
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References listed on IDEAS
- Donald MacKenzie, 2006. "An Engine, Not a Camera: How Financial Models Shape Markets," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262134608, January.
- Yacine Aït-Sahalia, 2005.
"How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise,"
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Society for Financial Studies, vol. 18(2), pages 351-416.
- Yacine Ait-Sahalia & Per A. Mykland, 2003. "How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise," NBER Working Papers 9611, National Bureau of Economic Research, Inc.
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- Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015. "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series 362, Quantitative Finance Research Centre, University of Technology, Sydney.
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