About this document
On The Correlation Structure of Micro Structure Noise in Theory and Practice by TraderCat Solaris is a document available to read on EtoBox.
Incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. Market microstructure theory is used to derive the cross-correlation function between latent returns and market microstructure noise.
- Author
- TraderCat Solaris
- Language
- EN