Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book |
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (English)
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30 April 2019
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efficient price
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estimation
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high-frequency data
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information
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limit order book
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market microstructure noise
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integrated volatility
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quasi-maximum likelihood estimator
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realized volatility
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test
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