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Statistical Theory

Selected Works

2005

Microstructure model estimation

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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.

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