Estimation for high-frequency data under parametric market microstructure noise (Q2042282): Difference between revisions

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Latest revision as of 06:38, 26 July 2024

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Estimation for high-frequency data under parametric market microstructure noise
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    Estimation for high-frequency data under parametric market microstructure noise (English)
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    28 July 2021
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    functionals of volatility
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    high-frequency covariance
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    high-frequency data
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    limit order book
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    parametric market microstructure noise
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