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High-Frequency Data Analysis and Market Microstructure
Analysis of Financial Time Series - Wiley Series in Probability and Statistics
◽
10.1002/0471746193.ch5
◽
2005
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pp. 206-250
Keyword(s):
Data Analysis
◽
Market Microstructure
◽
High Frequency
◽
High Frequency Data
◽
Frequency Data
Download Full-text
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High-Frequency Data Analysis and Market Microstructure
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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume
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◽
10.2139/ssrn.2139657
◽
2012
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Karine Michalon
Keyword(s):
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Market Microstructure
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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data
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Econometric Forecasting and High-Frequency Data Analysis
10.1142/6664
◽
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Covariance estimation using high-frequency data: Analysis of Nord Pool electricity forward data
2010 7th International Conference on the European Energy Market
◽
10.1109/eem.2010.5558684
◽
2010
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Covariance Estimation
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Estimation for high-frequency data under parametric market microstructure noise
Annals of the Institute of Statistical Mathematics
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A Hausman test for the presence of market microstructure noise in high frequency data
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10.1016/j.jeconom.2018.12.013
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2019
◽
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◽
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Hausman Test
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High-Frequency Data Analysis of Foreign Exchange Markets
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10.1007/978-981-10-7194-2_15
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Aki-Hiro Sato
Keyword(s):
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◽
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High Frequency
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Ecological Functioning of the Seine River: From Long-Term Modelling Approaches to High-Frequency Data Analysis
10.1007/698_2019_379
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J. Garnier
◽
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◽
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◽
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◽
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...
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◽
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