High Frequency ANOVA that is Robust to Jumps, Microstructure Noise and Asynchronous Observation Times
Year of publication: |
[2023]
|
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Authors: | Chen, Dachuan ; Chen, Haoning ; Feng, Long ; Xie, Siyu |
Publisher: |
[S.l.] : SSRN |
Subject: | Marktmikrostruktur | Market microstructure | Volatilität | Volatility | Noise Trading | Noise trading | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics |
Extent: | 1 Online-Ressource (45 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 16, 2023 erstellt |
Other identifiers: | 10.2139/ssrn.4420129 [DOI] |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation |
Source: | ECONIS - Online Catalogue of the ZBW |
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