High frequency market microstructure noise estimates and liquidity measures

Keyphrases

• Asset Returns 50%
• Common Market 50%
• Econometrics 50%
• Financial Characteristics 50%
• Financial Measures 50%
• High Frequency Markets 100%
• High-frequency Observations 50%
• High-frequency Returns 50%
• Level Measurement 50%
• Liquid Stocks 50%
• Liquidity 50%
• Liquidity Index 100%
• Low Noise 50%
• Market Microstructure Noise 100%
• Microstructure Noise 50%
• Noise Component 50%
• Noise Estimation 100%
• Noise Measurement 50%
• Noise-to-signal Ratio 50%
• Observable Characteristics 50%
• Recent Advances 50%
• Statistical Measurement 50%
• Stock Level 50%
• Transaction Price 50%
• Underlying Stocks 50%

Economics, Econometrics and Finance

• Capital Market Returns 50%
• Econometrics 50%
• Market Microstructure 100%