Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6762732
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data |
scientific article; zbMATH DE number 6762732 |
Statements
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (English)
0 references
21 August 2017
0 references
microstructure
0 references
high-frequency tests
0 references
statistical powers
0 references
stable central limit theorems
0 references
non-stationarity
0 references
volatility
0 references
liquidity
0 references
semimartingales
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0 references
0.8116110563278198
0 references
0.803946852684021
0 references
0.7752898931503296
0 references
0.7736438512802124
0 references
0.7572281360626221
0 references
