Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Simon Clinet, Yoann Potiron
| Year of publication: |
2019
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|---|---|
| Authors: | Clinet, Simon ; Potiron, Yoann |
| Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 209.2019, 2, p. 289-337
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| Subject: | Efficient price | Estimation | High frequency data | Information | Integrated volatility | Limit order book | Market microstructure noise | Quasi-maximum likelihood estimator | Realized volatility | Test | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Schätztheorie | Estimation theory | Wertpapierhandel | Securities trading | Börsenkurs | Share price | Schätzung | 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.2019.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012302598