market frictions

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    Market Frictions and High Frequency Data in Financial Econometrics

    Description We will review the econometrics of non-parametric estimation of the components of the variation of asset prices. Variation, jumps, market frictions and high frequency data in ?nancial econometrics ? Ole E. Barndorff-Nielsen The T.N. Thiele Centre for Mathematics in Natural Science...
    • dapat.reena
    • Thread
    • financial econometrics high frequency data market frictions
    • Replies: 0
    • Forum: Econometrics
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