Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Richard Y. Chen, Per A. Mykland
| Year of publication: |
September 2017
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|---|---|
| Authors: | Chen, Richard Y. ; Mykland, Per A. |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 1, p. 79-103
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| Subject: | Microstructure | High-frequency tests | Statistical powers | Stable central limit theorems | Non-stationarity | Volatility | Liquidity | Volatilität | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Liquidität | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Marktliquidität | Market liquidity | Finanzmarkt | Financial market | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.05.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011897700