Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Yu-Ning Li, Jia Chen, Oliver Linton
| Year of publication: |
[2021]
|
|---|---|
| Authors: | Li, Yu-Ning ; Chen, Jia ; Linton, Oliver |
| Publisher: |
Cambridge : University of Cambridge, Faculty of Economics |
| Subject: | Cointegration | Factor model | High-frequency data | Microstructure noise | Non-stationarity | Marktmikrostruktur | Market microstructure | Faktorenanalyse | Factor analysis | Zeitreihenanalyse | Time series analysis | Noise Trading | Noise trading | Kointegration | Börsenkurs | Share price | Schätzung | Estimation | Volatilität | Volatility | Schätztheorie | Estimation theory |
freely available
| Extent: | 1 Online-Ressource (circa 55 Seiten) Illustrationen |
|---|---|
| Series: | Cambridge working papers in economics. - Cambridge : [Verlag nicht ermittelbar], ZDB-ID 2106951-7. - Vol. 2150 Cambridge-INET working papers. - Cambridge : Cambridge-INET Institute, ZDB-ID 2853905-9. - Vol. 2021, 22 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
| Language: | English |
| Other identifiers: | 10.17863/CAM.74486 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013259517