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A market-clearing role for inefficiency on a limit order book
Large, Jeremy - In: Journal of financial economics 91 (2009) 1, pp. 102
Persistent link: https://www.econbiz.de/10008160117
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Moving Average-Based Estimators of Integrated Variance
Hansen, Peter; Large, Jeremy; Lunde, Asger - In: Econometric reviews 27 (2008) 1-3, pp. 79-111
Persistent link: https://www.econbiz.de/10007993919
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Estimating quadratic variation when quoted prices change by a constant increment
Large, Jeremy - In: Journal of econometrics 160 (2011) 1, pp. 2-12
Persistent link: https://www.econbiz.de/10008770559
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A market-clearing role for inefficiency on a limit order book
Large, Jeremy - In: Journal of financial economics 91 (2009) 1, pp. 102-118
Persistent link: https://www.econbiz.de/10008879513