Microstructure effect on firm’s volatility risk
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References listed on IDEAS
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More about this item
Keywordsmarket microstructure noise; high-frequency data; non-parametric volatility estimation; Merton model; default probabilities; volatility risk;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-13 (All new papers)
- NEP-ECM-2012-10-13 (Econometrics)
- NEP-MST-2012-10-13 (Market Microstructure)
- NEP-RMG-2012-10-13 (Risk Management)
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