Pages that link to "Item:Q2398977"
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The following pages link to Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977):
Displaying 4 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)
- Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
- Inference for calendar effects in microstructure noise (Q6636848) (← links)
