Estimating the price impact of trades in a high-frequency microstructure model with jumps
Eric Jondeau, Jérôme Lahaye, Michael Rockinger
| Year of publication: |
December 2015
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|---|---|
| Authors: | Jondeau, Eric ; Lahaye, Jérôme ; Rockinger, Michael |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 61.2015, 2, p. 205-224
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| Subject: | Microstructure model | Jumps | Noise | Volatility | Kalman filter | Particle filter | Volatilität | Marktmikrostruktur | Market microstructure | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Optionspreistheorie | Option pricing theory | Noise Trading | Noise trading |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2015.09.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011585573