Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Published 2019 View Full Article

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Title
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Authors
Keywords
Efficient price, Estimation, High frequency data, Information, Limit order book, Market microstructure noise, Integrated volatility, Quasi-maximum likelihood estimator, Realized volatility, Test
Journal
JOURNAL OF ECONOMETRICS
Volume 209, Issue 2, Pages 289-337
Publisher
Elsevier BV
Online
2019-01-30
DOI
10.1016/j.jeconom.2019.01.004

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