Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (Q6617600)
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scientific article; zbMATH DE number 7925097
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise |
scientific article; zbMATH DE number 7925097 |
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Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise (English)
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11 October 2024
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arcsine law
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limit order book
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market microstructure
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nonparametric boundary model
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volatility estimation
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