An Econometric Analysis of Nonsynchronous Trading
收藏NBER1989-05-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w2960
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资源简介：
We develop a stochastic model of nonsynchronous asset prices based on sampling with random censoring. In addition to generalizing existing models of non-trading our framework allows the explicit calculation of the effects of infrequent trading on the time series properties of asset returns. These
提供机构：
美国国家经济研究局
创建时间：
1989-05-01
