How often to sample a continuous-time process in the presence of market microstructure noise
By: Yacine Aït-Sahalia, Per A. Mykland.
Contributors: Mykland, Per A.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 9611.; Working paper series (National Bureau of Economic Research) -- working paper no. 9611.
Publisher: National Bureau of Economic Research
Published: 2003
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 51
Subjects: Securities -- Mathematical models; Stock exchanges -- Mathematical models; Corporate profits
Notes: "April 2003."

Includes bibliographical references.

Also available in PDF from the NBER world wide web site (www.nber.org).