Pages that link to "Item:Q1740296"
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The following pages link to Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (Q1740296):
Displaying 13 items.
- Estimation for high-frequency data under parametric market microstructure noise (Q2042282) (← links)
- Cointegration in high frequency data (Q2044337) (← links)
- Distribution-free specification test for volatility function based on high-frequency data with microstructure noise (Q2082567) (← links)
- Dependent microstructure noise and integrated volatility estimation from high-frequency data (Q2182144) (← links)
- Market microstructure (Q2928746) (← links)
- The information content of high-frequency traders aggressive orders: recent evidence (Q4957239) (← links)
- Learning multi-market microstructure from order book data (Q5234377) (← links)
- Detecting Unobserved Heterogeneity in Efficient Prices via Classifier-Lasso (Q6149863) (← links)
- Modeling volatility for high-frequency data with rounding error: a nonparametric Bayesian approach (Q6190639) (← links)
- Nonparametric estimation for high-frequency data incorporating trading information (Q6199631) (← links)
- Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600) (← links)
- Disentangling Sources of High Frequency Market Microstructure Noise (Q6617733) (← links)
- Local Parametric Estimation in High Frequency Data (Q6626343) (← links)