On high frequency estimation of the frictionless price: The use of observed liquidity variables

出版年份 2017 全文链接

标题

作者

关键词

Stochastic volatility, Hidden semimartingale model, Infill regression, Endogenous noise, Semiparametric volatility estimation

出版物

Volume 201, Issue 1, Pages 127-143

出版商

Elsevier BV

发表日期

2017-07-12

DOI

10.1016/j.jeconom.2017.06.018

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