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~person:"Linton, Oliver"
~subject:"Market microstructure"
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Market microstructure
Time series analysis
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Zeitreihenanalyse
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Estimation theory
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locally stationary process
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series estimator
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Linton, Oliver
Podolskij, Mark
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Mykland, Per A.
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Li, Yingying
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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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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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2
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
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3
A ReMeDI for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
- In:
Econometrica : journal of the Econometric Society, an …
90
(
2022
)
1
,
pp. 367-389
Persistent link: https://www.econbiz.de/10012821689
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