Improved volatility estimation based on limit order books
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Cited by:
- Gwennaëlle Mabon, 2014. "Adaptive Deconvolution on the Nonnegative Real Line," Working Papers 2014-40, Center for Research in Economics and Statistics.
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More about this item
Keywords
Brownian excursion area; limit order book; integrated volatility; Feynman-Kac; high-frequency data; Poisson point process;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-10-22 (Econometrics)
- NEP-MST-2014-10-22 (Market Microstructure)
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