Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

DOI10.1016/j.jeconom.2017.05.015zbMath1388.62304arXiv1512.06159OpenAlexW2727019312MaRDI QIDQ2398977

Per Aslak Mykland, Richard Y. Chen

Publication date: 21 August 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1512.06159

zbMATH Keywords

microstructuresemimartingalesvolatilityliquiditynon-stationarityhigh-frequency testsstable central limit theoremsstatistical powers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05) Generalizations of martingales (60G48)

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