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End-of-day stock trading volume prediction with a two-component hierarchical model

Chen, Shuhao; Chen, Rong; Ardell, Gary; Lin, Biquan - In: The journal of trading 6 (2011) 3, pp. 61-68

Persistent link: https://www.econbiz.de/10009269235

Jumps in financial markets : a new nonparametric test and jump dynamics

Lee, Suzanne S.; Mykland, Per A. - In: The review of financial studies 21 (2008) 6, pp. 2535-2563

Persistent link: https://www.econbiz.de/10003805074

Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

Chen, Richard Y.; Mykland, Per A. - In: Journal of econometrics 200 (2017) 1, pp. 79-103

Persistent link: https://www.econbiz.de/10011897700

Between data cleaning and inference : pre-averaging and robust estimators of the efficient price

Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262

Persistent link: https://www.econbiz.de/10011705124

Jumps in equilibrium prices and market microstructure noise

Lee, Suzanne S.; Mykland, Per A. - In: Journal of econometrics 168 (2012) 2, pp. 396-406

Persistent link: https://www.econbiz.de/10009612713

Realized regression with asynchronous and noisy high frequency and high dimensional data

Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20

Persistent link: https://www.econbiz.de/10015074483

Jumps in Equilibrium Prices and Market Microstructure Noise

Lee, Suzanne S. - 2012

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

Persistent link: https://www.econbiz.de/10013115585