Pages that link to "Item:Q2398977"

The following pages link to Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977):

Displaying 2 items.

• A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
• On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators? (Q5086397) (← links)