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Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data

Chen, Richard - 2017

In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure...

Persistent link: https://www.econbiz.de/10012970519

Combining choice and response time data : a drift-diffusion model of mobile advertisements

Chiong, Khai Xiang; Shum, Matthew; Webb, Ryan; Chen, Richard - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 1238-1257

Persistent link: https://www.econbiz.de/10014513921

A dynamic monetary model with costly foreign currency

Bianconi, Marcelo - In: The journal of international trade & economic development 8 (1999) 4, pp. 321-342

Persistent link: https://www.econbiz.de/10001441354

Intertemporal budget policies in an endogenous growth model with nominal assets

Bianconi, Marcelo - In: International review of economics & finance : IREF 8 (1999) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10001427822

The effects of alternative fiscal policies on the intertemporal government budget constraint

Bianconi, Marcelo - In: International review of economics & finance : IREF 9 (2000) 1, pp. 31-52

Persistent link: https://www.econbiz.de/10001481119

Dividend and monetary policy and the differential tax treatment of capital gains in a two-country world

Bianconi, Marcelo - In: Journal of economic integration 9 (1994) 4, pp. 502-524

Persistent link: https://www.econbiz.de/10001177476

Inflation and the real price of equities : theory with some empirical evidence

Bianconi, Marcelo - In: Journal of macroeconomics 17 (1995) 3, pp. 495-514

Persistent link: https://www.econbiz.de/10001185206

Monetary growth innovations in a simple cash-in-advance asset-pricing model

Bianconi, Marcelo - In: European economic review : EER 36 (1992) 8, pp. 1501-1521

Persistent link: https://www.econbiz.de/10001135239

Monetary growth volatility and asset prices in a two-country cash-in-advance model

Bianconi, Marcelo - In: Journal of international economic integration 7 (1992) 1, pp. 80-101

Persistent link: https://www.econbiz.de/10001137562

Política monetaria y margen de ganancia variable en una economía pequeña y abierta con inflación : consideraciones dinámicas y estratégicas

Bianconi, Marcelo - In: Estudios económicos 4 (1989) 2, pp. 201-235

Persistent link: https://www.econbiz.de/10001108368

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