Econometric Methods for High-Frequency Financial Data Analysis

Project Start: 01/2018
Status: Ongoing
Researchers: Aleksey Kolokolov, Davide Pirino, Roberto Renò
Category: Financial Markets, Systemic Risk Lab
Funded by: LOEWE

Related Published Papers

Author/s Title Year Program Area Keywords
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Statistical Inferences for Price Staleness
forthcoming in Journal of Econometrics
2020 Financial Markets, Systemic Risk Lab staleness, idle time, liquidity, zero returns, stable convergence

Related Working Papers

No. Author/s Title Year Program Area Keywords
236 Aleksey Kolokolov, Giulia Livieri, Davide Pirino Statistical Inferences for Price Staleness 2018 Financial Markets, Systemic Risk Lab staleness, idle time, liquidity, zero returns, stable convergence

 

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