A ReMeDI for microstructure noise
Z. Merrick Li, Oliver Linton
| Year of publication: |
2022
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|---|---|
| Authors: | Li, Z. Merrick ; Linton, Oliver |
| Published in: |
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics. - Chichester : Wiley-Blackwell, ISSN 1468-0262, ZDB-ID 1477253-X. - Vol. 90.2022, 1, p. 367-389
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| Subject: | finite sample bias | infill asymptotics | Microstructure noise | mixing sequence | semimartingale | serial dependence | stable convergence | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Systematischer Fehler | Bias |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA17505 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012821689