搜索结果: 1-2 共查到“微观经济学 estimates and liquidity measures”相关记录2条 . 查询时间(0.082 秒)
High frequency market microstructure noise estimates and liquidity measures
High frequency market microstructure noise estimates and liquidity measures
2010/11/1
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...
HIGH FREQUENCY MARKET MICROSTRUCTURE NOISE ESTIMATES AND LIQUIDITY MEASURES
Market microstructure noise robust volatility estimation high frequency data liquidity stock returns
2014/3/13
Using recent advances in the econometrics literature, we disentangle from high frequency observations on the transaction prices of a large sample of NYSE stocks a fundamental component and a microstru...