High frequency market microstructure noise estimates and liquidity measures

DOI10.1214/08-AOAS200zbMath1160.62089arXiv0906.1444OpenAlexW2924283018MaRDI QIDQ1018630

Jialin Yu, Yacine Aït-Sahalia

Publication date: 20 May 2009

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1444

zbMATH Keywords

stock returnsliquidityhigh frequency datamarket microstructure noiserobust volatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Microeconomic theory (price theory and economic markets) (91B24)

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