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~isPartOf:"Cambridge-INET working papers"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~person:"Li, Z. Merrick"
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Market microstructure
2
Marktmikrostruktur
2
Noise Trading
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Noise trading
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Dependent microstructure noise
1
Estimation theory
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Flash Crash
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Microstructure noise
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Schätztheorie
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bias correction
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infill asymptotics
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integrated volatility
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inventory models
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liquidity measures
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mixing sequences
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order flows
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permanent and transitory components
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Li, Z. Merrick
Linton, Oliver
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Barndorff-Nielsen, Ole E.
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Chen, Jia
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Doblas-Madrid, Antonio
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Hansen, Peter Reinhard
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Jacod, Jean
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Laeven, Roger J. A.
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Li, Jia
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Li, Yingying
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Li, Yu-Ning
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Lunde, Asger
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Cambridge-INET working papers
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Cambridge working papers in economics
2
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of econometrics
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ECONIS (ZBW)
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A remedi for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
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2020
Persistent link: https://www.econbiz.de/10012692260
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Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
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2019
Persistent link: https://www.econbiz.de/10012703138
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