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Realized volatility forecasting and market microstructure noise

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

Standard

Realized volatility forecasting and market microstructure noise. / Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour.

In: Journal of Econometrics, Vol. 160, No. 1, 2011, p. 220-234.

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

Harvard

Andersen, TG, Bollerslev, T & Meddahi, N 2011, 'Realized volatility forecasting and market microstructure noise', Journal of Econometrics, vol. 160, no. 1, pp. 220-234. https://doi.org/10.1016/j.jeconom.2010.03.032

APA

Andersen, T. G., Bollerslev, T., & Meddahi, N. (2011). Realized volatility forecasting and market microstructure noise. Journal of Econometrics, 160(1), 220-234. https://doi.org/10.1016/j.jeconom.2010.03.032

CBE

MLA

Andersen, Torben G., Tim Bollerslev and Nour Meddahi. "Realized volatility forecasting and market microstructure noise". Journal of Econometrics. 2011, 160(1). 220-234. https://doi.org/10.1016/j.jeconom.2010.03.032

Vancouver

Author

Andersen, Torben G. ; Bollerslev, Tim ; Meddahi, Nour. / Realized volatility forecasting and market microstructure noise. In: Journal of Econometrics. 2011 ; Vol. 160, No. 1. pp. 220-234.

Bibtex

@article{91f72525eb0d487cb41dcb2751b55594,
title = "Realized volatility forecasting and market microstructure noise",
author = "Andersen, {Torben G.} and Tim Bollerslev and Nour Meddahi",
year = "2011",
doi = "10.1016/j.jeconom.2010.03.032",
language = "English",
volume = "160",
pages = "220--234",
journal = "Journal of Econometrics",
issn = "0304-4076",
publisher = "Elsevier BV",
number = "1",

}

RIS

TY - JOUR

T1 - Realized volatility forecasting and market microstructure noise

AU - Andersen, Torben G.

AU - Bollerslev, Tim

AU - Meddahi, Nour

PY - 2011

Y1 - 2011

U2 - 10.1016/j.jeconom.2010.03.032

DO - 10.1016/j.jeconom.2010.03.032

M3 - Journal article

VL - 160

SP - 220

EP - 234

JO - Journal of Econometrics

JF - Journal of Econometrics

SN - 0304-4076

IS - 1

ER -