High Frequency Market Microstructure Noise Estimates and Liquidity Measures
收藏NBER2008-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w13825
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资源简介：
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 microstructure noise component. We then relate these statistical measurements of market microstructure noise
提供机构：
美国国家经济研究局
创建时间：
2008-02-01
