Excess idle time

DOI10.3982/ECTA13595MaRDI QIDQ4614985zbMATH OpenOpenAlexFDO

Authors Federico M. Bandi, Davide Pirino, Roberto Renò

Publication date 1 February 2019

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3982/ecta13595

zbMATH Keywords

infill asymptoticsasymmetric informationliquidityliquidity premiumcontinuous-time semimartingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Actuarial science and mathematical finance (91G99)

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Cited in

(10)

• Dynamic Discrete Mixtures for High-Frequency Prices
• Jumps or Staleness?
• Systematic staleness
• Managing liquidity with portfolio staleness
• A closed-form formula characterization of the Epps effect
• Statistical inferences for price staleness
• Measuring market efficiency: the Shannon entropy of high-frequency financial time series
• On Bivariate Time-Varying Price Staleness
• Singular Conditional Autoregressive Wishart Model for Realized Covariance Matrices
• Volatility Estimation When the Zero-Process is Nonstationary

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