On high frequency estimation of the frictionless price: the use of observed liquidity variables (Q2405909)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On high frequency estimation of the frictionless price: the use of observed liquidity variables |
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On high frequency estimation of the frictionless price: the use of observed liquidity variables (English)
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28 September 2017
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stochastic volatility
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hidden semimartingale model
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infill regression
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endogenous noise
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semiparametric volatility estimation
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