On high frequency estimation of the frictionless price : the use of observed liquidity variables
Selma Chaker
| Year of publication: |
November 2017
|
|---|---|
| Authors: | Chaker, Selma |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 201.2017, 1, p. 127-143
|
| Subject: | Stochastic volatility | Hidden semimartingale model | Infill regression | Endogenous noise | Semiparametric volatility estimation | Volatilität | Volatility | Schätztheorie | Estimation theory | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Nichtparametrisches Verfahren | Nonparametric statistics | Regressionsanalyse | Regression analysis | Zeitreihenanalyse | Time series analysis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jeconom.2017.06.018 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011917437