Econometric Methods for High-Frequency Financial Data Analysis

Project Start:01/2018
Status:Ongoing
Researchers:Aleksey Kolokolov, Davide Pirino, Roberto RenĂ²
Category: Financial Markets, Systemic Risk Lab
Funded by:LOEWE

Related Published Papers

Author/sTitleYearProgram AreaKeywords
Aleksey Kolokolov, Giulia Livieri, Davide PirinoStatistical Inferences for Price Staleness
Journal of Econometrics
2020 Financial Markets, Systemic Risk Lab staleness, idle time, liquidity, zero returns, stable convergence

Related Working Papers

No.Author/sTitleYearProgram AreaKeywords
236Aleksey Kolokolov, Giulia Livieri, Davide PirinoStatistical Inferences for Price Staleness2018 Financial Markets, Systemic Risk Lab staleness, idle time, liquidity, zero returns, stable convergence
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