Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book |
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book |
scientific article |
Statements
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (English)
0 references
30 April 2019
0 references
efficient price
0 references
estimation
0 references
high-frequency data
0 references
information
0 references
limit order book
0 references
market microstructure noise
0 references
integrated volatility
0 references
quasi-maximum likelihood estimator
0 references
realized volatility
0 references
test
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
