Jumps in equilibrium prices and market microstructure noise
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DOI: 10.1016/j.jeconom.2012.03.001
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More about this item
Keywords
Jumps; Noise; Nonparametric tests; High frequency data;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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