Nottingham, NG8 1BB
University of Nottingham
Price durations; Volatility estimation; High-frequency data; Market microstructure noise; Forecasting
Autocorrelation, Bubbles, Efficient Markets, Fads, Martingale, Momentum, Predictability
Price jump detection; Market microstructure noise; Price durations; High-frequency data.
Price durations; Covariance matrix estimation; High-frequency data; GMV portfolio allocation
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