Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
type: Item
instance of: scholarly article
title: Mixture of distribution hypothesis: analyzing daily liquidity frictions and information flows
zbMATH Open document ID: 1377.62209
author: Serge Darolles
author: Gaëlle Le Fol
author: Gulten Mero
published in: Journal of Econometrics
publication date: 2017-11-07T00:00:00Z
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 6803388
zbMATH Keywords: strategic liquidity trading
zbMATH Keywords: market efficiency
zbMATH Keywords: mixture of distribution hypothesis
zbMATH Keywords: information-based trading
zbMATH Keywords: extended Kalman filter
MaRDI profile type: Publication
full work available at URL: j.jeconom.2017.08.014
OpenAlex ID: W2752813255
cites work: Q3993534
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DOI: 10.1016/J.JECONOM.2017.08.014
description: scientific article; zbMATH DE number 6803388