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isPartOf:"Journal of econometrics"
~person:"Dalderop, Jeroen"
~person:"Mykland, Per A."
~subject:"Noise Trading"
~subject:"Statistische Verteilung"
~type_genre:"Article in journal"
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Dalderop, Jeroen
Mykland, Per A.
Bollerslev, Tim
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Li, Yingying
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Nonparametric filtering of conditional state-price densities
Dalderop, Jeroen
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 295-325
Persistent link: https://www.econbiz.de/10012438391
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2
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
3
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
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