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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...