Systematic staleness

DOI10.1016/j.jeconom.2023.105522OpenAlexW4387759202MaRDI QIDQ6152589

Roberto Renò, Davide Pirino, Federico M. Bandi

Publication date: 13 February 2024

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2023.105522

zbMATH Keywords

liquidityjoint asymptoticsidiosyncratic stalenesssystematic staleness

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
• Simulated Moments Estimation of Markov Models of Asset Prices
• The Longest Run of Heads
• Continuous Auctions and Insider Trading
• EXcess Idle Time
• Brownian Motion
• Exponential functionals of Brownian motion and related processes

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