Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

DOI10.1007/S001800200104zbMath1015.91029OpenAlexW1745770257MaRDI QIDQ1855636

Reinhard Hujer, Stefan Kokot, Joachim Grammig

Publication date: 6 February 2003

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: http://publikationen.ub.uni-frankfurt.de/files/3625/version_wp_sk_1.pdf

zbMATH Keywords

nonparametric estimationintensity functionintra-day liquidity measurestackling boundary effectsweighted duration

Mathematics Subject Classification ID

Nonparametric estimation (62G05)

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