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| Author: | Harris, L. |
| Title: | Estimation of stock price variances and serial covariances from discrete observations |
| Journal: | Journal of Financial and Quantitative Analysis
1990 : SEP, VOL. 25:3, p. 291-306 |
| Index terms: | STOCK PRICES FINANCIAL MODELS MATHEMATICAL ANALYSIS |
| Language: | eng |
| Abstract: | An assessment of estimation problems related to price discreteness. A discrete price model. Estimator efficiency. Price-change variances. The Appendix covers maximum estimation and the mathematical results. Two Tables illustrate the study. |
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