A data paradigm to operationalise expanded filtration : realized volatilities and kernels from non-synchronous NASDAQ quotes and trades
Year of publication: |
2021
|
---|---|
Authors: | Chakravarty, Ranjan R. ; Pani, Sudhanshu |
Published in: |
Journal of quantitative economics. - [New Delhi] : Springer India, ISSN 2364-1045, ZDB-ID 2842078-0. - Vol. 19.2021, 4, p. 617-652
|
Subject: | Robustification | Data handling | Limit order book | Model fit | Estimation | Filtration expansion | Ultra High Frequency | Volatilität | Volatility | Wertpapierhandel | Securities trading | Schätzung | Schätztheorie | Estimation theory | Marktmikrostruktur | Market microstructure | Zeitreihenanalyse | Time series analysis | Elektronisches Handelssystem | Electronic trading |
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