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Market microstructure
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Marktmikrostruktur
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Noise Trading
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Noise trading
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Estimation theory
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Microstructure noise
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Schätztheorie
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Estimation
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High-frequency data
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Kointegration
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Non-stationarity
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Share price
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Theorie
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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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pre-averaging method
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Li, Z. Merrick
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Linton, Oliver
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Vellekoop, Michel
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The North American journal of economics and finance : a journal of financial economics studies
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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
2
A remedi for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
-
2020
Persistent link: https://www.econbiz.de/10012692260
Saved in:
3
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
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