High frequency market microstructure noise estimates and liquidity measures

DOI10.1214/08-AOAS200zbMath1160.62089arXiv0906.1444OpenAlexW2924283018MaRDI QIDQ1018630

Jialin Yu, Yacine Aït-Sahalia

Publication date: 20 May 2009

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0906.1444

zbMATH Keywords

stock returnsliquidityhigh frequency datamarket microstructure noiserobust volatility estimation

Mathematics Subject Classification ID

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