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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model

Authors :
Yu-Ning Li
Jia Chen
Oliver Linton
Source :
Journal of Econometrics.
Publication Year :
2023
Publisher :
Elsevier BV, 2023.

Subjects

Subjects :
Economics and Econometrics
Applied Mathematics

Details

ISSN :
03044076
Database :
OpenAIRE
Journal :
Journal of Econometrics
Accession number :
edsair.doi...........b59b5fd7c76e6a5b012381f1d0259483

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