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isPartOf:"Journal of empirical finance"
~isPartOf:"Journal of econometrics"
~person:"Aldrich, Eric M."
~person:"Clinet, Simon"
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Börsenkurs
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Market microstructure
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Aldrich, Eric M.
Clinet, Simon
Li, Yingying
5
Mykland, Per A.
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Aït-Sahalia, Yacine
4
Bollerslev, Tim
4
Christensen, Kim
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Journal of empirical finance
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
2
Relative spread and price discovery
Aldrich, Eric M.
;
Lee, Seung
- In:
Journal of empirical finance
48
(
2018
),
pp. 81-98
Persistent link: https://www.econbiz.de/10012109271
Saved in:
3
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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