Realized volatility forecasting and market microstructure noise

Research output: Contribution to journal/Conference contribution in journal/Contribution to newspaperJournal articleResearchpeer-review

  • Torben G. Andersen, Northwestern University, United States
  • Tim Bollerslev
  • Nour Meddahi, Toulouse School of Economics, France
Original languageEnglish
JournalJournal of Econometrics
Volume160
Issue1
Pages (from-to)220-234
ISSN0304-4076
DOIs
Publication statusPublished - 2011

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