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- W23759076 abstract "The Hansen-Lunde (HL) research program is generally first-rate, displaying a rare blend oftheoretical prowess and applied sense. The present paper is no exception. In a major theoretical advance,HL allow for correlation between microstructure (MS) noise and latent price. (I prefer “latent price” toterms such as “efficient price” or “true price,” which carry lots of excess baggage.) In a parallel majorsubstantive advance, HL provide a pioneering empirical investigation of the" @default.
- W23759076 created "2016-06-24" @default.
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- W23759076 date "2006-01-01" @default.
- W23759076 modified "2023-09-27" @default.
- W23759076 title "On Market Microstructure Noise and Realized Volatility 1" @default.
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