Pages that link to "Item:Q2405909"
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The following pages link to On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909):
Displaying 11 items.
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296) (← links)
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
- Local mispricing and microstructural noise: a parametric perspective (Q2172020) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
- Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
- Local Parametric Estimation in High Frequency Data (Q6626343) (← links)
