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Inference on the intraday spot volatility from high-frequency order
  prices with irregular microstructure noise
v1v2 (latest)

Inference on the intraday spot volatility from high-frequency order prices with irregular microstructure noise

5 January 2023
M. Bibinger
ArXiv (abs)PDFHTML

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
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
Jump detection in high-frequency order prices
M. Bibinger
N. Hautsch
Alexander Ristig
56
1
0
26 Feb 2024
1