Local mispricing and microstructural noise : a parametric perspective
Torben G. Andersen, Ilya Archakov, Gökhan Cebiroglu, Nikolaus Hautsch
| Year of publication: |
2022
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|---|---|
| Authors: | Andersen, Torben ; Archakov, Ilya ; Cebiroglu, Gökhan ; Hautsch, Nikolaus |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 230.2022, 2, p. 510-534
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| Subject: | Volatility estimation | Market microstructure noise | Price reversal | Momentum | Contrarian trading | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Noise Trading | Noise trading | Schätztheorie | Estimation theory |
| Description of contents: | Description [doi.org] |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Corrigendum enthalten in: Volume 232, Issue 2, February 2023, Seite 598-603 |
| Other identifiers: | 10.1016/j.jeconom.2021.06.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013464102