High frequency market microstructure noise estimates and liquidity measures (Q1018630)

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High frequency market microstructure noise estimates and liquidity measures
scientific article

    Statements

    title
    High frequency market microstructure noise estimates and liquidity measures (English)
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    author
    Yacine Aït-Sahalia
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    Jialin Yu
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    publication date
    20 May 2009
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    zbMATH Keywords
    market microstructure noise
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    robust volatility estimation
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    high frequency data
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    liquidity
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    stock returns
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    Identifiers

    DOI
    10.1214/08-AOAS200
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    Mathematics Subject Classification ID
    62P05
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    91B28
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    91B24
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    62G05
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    zbMATH DE Number
    5555696
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    arXiv ID
    0906.1444
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    OpenAlex ID
    W2924283018
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