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Persistent link: https://www.econbiz.de/10014252208
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It hinges on the existence of a latent...
Persistent link: https://www.econbiz.de/10011941155
Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for formalizing this phenomenon. It hinges on the existence of a latent...
Persistent link: https://www.econbiz.de/10011927635
Persistent link: https://www.econbiz.de/10012482896