Statistical Properties of Microstructure Noise (Q4612526)
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scientific article; zbMATH DE number 7009652
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Statistical Properties of Microstructure Noise |
scientific article; zbMATH DE number 7009652 |
Statements
Statistical Properties of Microstructure Noise (English)
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31 January 2019
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market microstructure noise
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high frequency data
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joint moments
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autocovariance
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autocorrelation
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