Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
From MaRDI portal
Publication:1740296
DOI10.1016/j.jeconom.2019.01.004zbMath1452.62754arXiv1709.02502OpenAlexW2810031851MaRDI QIDQ1740296
Publication date: 30 April 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1709.02502
estimationinformationhigh-frequency dataquasi-maximum likelihood estimatormarket microstructure noiserealized volatilitytestintegrated volatilitylimit order bookefficient price
Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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