A ReMeDI for Microstructure Noise
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Publication:5087299
DOI10.3982/ECTA17505zbMath1492.91399MaRDI QIDQ5087299
Oliver B. Linton, Z. Merrick Li
Publication date: 11 July 2022
Published in: Econometrica (Search for Journal in Brave)
infill asymptoticssemimartingalestable convergenceserial dependencemicrostructure noisemixing sequencefinite sample bias
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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