Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
type: Item
instance of: scholarly article
title: Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
zbMATH Open document ID: 1388.62304
author: Richard Y. Chen
author: Per Aslak Mykland
published in: Journal of Econometrics
publication date: 2017-08-21T00:00:00Z
full work available at URL: https://arxiv.org/abs/1512.06159
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 60G48
Mathematics Subject Classification ID: 60F05
zbMATH DE Number: 6762732
zbMATH Keywords: microstructure
zbMATH Keywords: high-frequency tests
zbMATH Keywords: statistical powers
zbMATH Keywords: stable central limit theorems
zbMATH Keywords: non-stationarity
zbMATH Keywords: volatility
zbMATH Keywords: liquidity
zbMATH Keywords: semimartingales
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2727019312
arXiv ID: 1512.06159
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DOI: 10.1016/J.JECONOM.2017.05.015
description: scientific article