Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (Q2398977)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data |
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Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data (English)
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21 August 2017
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microstructure
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high-frequency tests
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statistical powers
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stable central limit theorems
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non-stationarity
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volatility
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liquidity
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semimartingales
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