Nonparametric estimation for high-frequency data incorporating trading information
Wenhao Cui, Jie Hu, Jiandong Wang
| Year of publication: |
2024
|
|---|---|
| Authors: | Cui, Wenhao ; Hu, Jie ; Wang, Jiandong |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ZDB-ID 1460617-3. - Vol. 240.2024, 1, Art.-No. 105690, p. 1-22
|
| Subject: | Integrated volatility | Laplace estimator | Market microstructure noise | Sieve estimator | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | 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.jeconom.2024.105690 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015075085