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A ReMeDI for Microstructure Noise - MaRDI portal

A ReMeDI for Microstructure Noise (Q5087299)

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scientific article; zbMATH DE number 7554969
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English
A ReMeDI for Microstructure Noise
scientific article; zbMATH DE number 7554969

    Statements

    title
    A ReMeDI for Microstructure Noise (English)
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    author
    Z. Merrick Li
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    Oliver B. Linton
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    published in
    Econometrica
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    publication date
    11 July 2022
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    zbMATH Keywords
    microstructure noise
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    semimartingale
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    serial dependence
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    stable convergence
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    mixing sequence
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    infill asymptotics
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    finite sample bias
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    Identifiers

    DOI
    10.3982/ECTA17505
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    zbMATH DE Number
    7554969
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