Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model (2023)
Attributed to:
New Cross-Sectionally Dependent Panel Data Methods for the Analysis of Macroeconomic and Financial Networks
funded by
ESRC
Abstract
No abstract provided
Bibliographic Information
Digital Object Identifier: http://dx.doi.org/10.1016/j.jeconom.2022.12.005
Publication URI: http://dx.doi.org/10.1016/j.jeconom.2022.12.005
Type: Journal Article/Review
Parent Publication: Journal of Econometrics