Statistical Properties of Microstructure Noise
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Publication:4612526
DOI10.3982/ECTA13085zbMath1410.62204arXiv1302.1047OpenAlexW3122720308MaRDI QIDQ4612526
Xinghua Zheng, Jean Jacod, Ying-Ying Li
Publication date: 31 January 2019
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1302.1047
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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