Open Access. Powered by Scholars. Published by Universities.®

Physical Sciences and Mathematics Commons™

Open Access. Powered by Scholars. Published by Universities.®

2005

Statistical Theory

Selected Works

Microstructure model estimation

Articles 1 - 1 of 1

Full-Text Articles in Physical Sciences and Mathematics

Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni Dec 2004

Identifying A Source Of Financial Volatility, Douglas G. Steigerwald, Richard Vagnoni

Douglas G. Steigerwald

How should one combine stock and option markets in models of trade and asset price volatility? We address this question, paying particular attention to the identification of parameters of interest.

Go to article