Local mispricing and microstructural noise : a parametric perspective

Torben G. Andersen, Ilya Archakov, Gökhan Cebiroglu, Nikolaus Hautsch

Year of publication:	2022
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
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]

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