Occupation density estimation for noisy high-frequency data
Year of publication: |
2022
|
---|---|
Authors: | Zhang, Congshan ; Li, Jia ; Bollerslev, Tim |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 227.2022, 1, p. 189-211
|
Subject: | Volatility | High-frequency data | Informed trading | Microstructure noise | Occupation density | Volatilität | Marktmikrostruktur | Market microstructure | Schätztheorie | Estimation theory | Noise Trading | Noise trading | Statistische Verteilung | Statistical distribution | Nichtparametrisches Verfahren | Nonparametric statistics | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
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