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~subject:"Noise Trading"
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Search: subject:"Quasi-maximum likelihood estimator"
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Noise Trading
Estimation theory
17
Schätztheorie
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Quasi-maximum likelihood estimator
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quasi-maximum likelihood estimator
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Maximum likelihood estimation
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Maximum-Likelihood-Schätzung
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Börsenkurs
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Market microstructure
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Market microstructure noise
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Marktmikrostruktur
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Noise trading
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credit risk
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fractional responses
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loss given default
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maximum likelihood estimator
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near epoch dependence
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nonlinear dynamic model
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ordinal regression
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Asymptotic distribution
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Potiron, Yoann
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Clinet, Simon
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Mykland, Per A.
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Journal of econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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2
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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3
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
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