Systematic staleness

DOI10.1016/J.JECONOM.2023.105522MaRDI QIDQ6152589zbMATH OpenOpenAlexFDO

Authors Federico M. Bandi, Davide Pirino, Roberto Renò

Publication date 13 February 2024

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

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

zbMATH Keywords

idiosyncratic stalenessjoint asymptoticsliquiditysystematic staleness

Mathematics Subject Classification ID

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

Cites work

• Brownian motion. With an appendix by Oded Schramm and Wendelin Werner
• Continuous Auctions and Insider Trading
• Excess idle time
• Exponential functionals of Brownian motion and related processes
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 765034 (Why is no real title available?)
• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
• 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

Cited in

(1)

• Funding liquidity and stocks' market liquidity: structural estimation from high-frequency data

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