Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Year of publication: |
September 2017
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Authors: | Chen, Richard Y. ; Mykland, Per A. |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 200.2017, 1, p. 79-103
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Subject: | Microstructure | High-frequency tests | Statistical powers | Stable central limit theorems | Non-stationarity | Volatility | Liquidity | Marktmikrostruktur | Market microstructure | Volatilität | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Liquidität | Noise Trading | Noise trading | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
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