High frequency market microstructure noise estimates and liquidity measures (Q1018630)
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scientific article
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| English | High frequency market microstructure noise estimates and liquidity measures |
scientific article |
Statements
High frequency market microstructure noise estimates and liquidity measures (English)
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20 May 2009
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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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0.91231537
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0.8969995
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0.89661247
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0.87742394
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0.8732573
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0.8728946
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0.86938584
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0.8645727
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0.8597884
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