Price discovery in a continuous-time setting
Year of publication: |
2021
|
---|---|
Authors: | Dias, Gustavo Fruet ; Fernandes, Marcelo ; Scherrer, Cristina M. |
Published in: |
Journal of financial econometrics. - Oxford : Oxford University Press, ISSN 1479-8417, ZDB-ID 2065613-0. - Vol. 19.2021, 5, p. 985-1008
|
Subject: | continuous-time model | high-frequency data | price discovery | sampling interval | Theorie | Theory | Börsenkurs | Share price | Stichprobenerhebung | Sampling | Zeitreihenanalyse | Time series analysis | Kointegration | Cointegration | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
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