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| Author: | Bandi, F.M. Russell, J.R. |
| Title: | Separating microstructure noise from volatility |
| Journal: | Journal of Financial Economics
2006 : MAR, VOL. 79:3, p. 655-692 |
| Index terms: | stock markets stock returns trading volatility |
| Language: | eng |
| Abstract: | In this article the authors show, in the context of a volatility-timing trading strategy, that careful (optimal) separation of two volatility components (time-varying variance of the unobservable efficient returns, and the variance of the equally unobservable microstructure noise) of the observed stock returns yields substantial utility gains. |
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