Statistical properties of microstructure noise
Jean Jacod, Yingying Li, Xinghua Zheng
| Year of publication: |
July 2017
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|---|---|
| Authors: | Jacod, Jean ; Li, Yingying ; Zheng, Xinghua |
| Published in: |
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics. - [Wechselnde Erscheinungsorte] : [Wechselnde Verlage], ISSN 0012-9682, ZDB-ID 1798-X. - Vol. 85.2017, 4, p. 1133-1174
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| Subject: | Market microstructure noise | high frequency data | joint moments | autocovariance | autocorrelation | Marktmikrostruktur | Market microstructure | Noise Trading | Noise trading | Autokorrelation | Autocorrelation | Schätztheorie | Estimation theory | Volatilität | Volatility | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3982/ECTA13085 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011791234