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Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise
5 January 2023
M. Bibinger
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ArXiv (abs)
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Papers citing
"Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise"
2 / 2 papers shown
Title
Probabilistic models and statistics for electronic financial markets in the digital age
Markus Bibinger
62
0
0
11 Jun 2024
Jump detection in high-frequency order prices
M. Bibinger
N. Hautsch
Alexander Ristig
56
1
0
26 Feb 2024
1
