Business & Economics
High-frequency Data
79%
Market Microstructure Noise
70%
Endogenous Sampling
46%
Quasi-maximum Likelihood Estimator
45%
Cointegration
39%
Asymptotic Variance
31%
Variance Reduction
31%
Limit Order Book
30%
Informational Content
30%
Ticks
28%
Jump
28%
Kernel
27%
Estimator
27%
Residual-based Tests
21%
Testing
19%
Central Limit Theorem
17%
Integrated
17%
Maximum Likelihood Estimation
13%
Finite Sample
12%
Quasi-maximum Likelihood Estimation
11%
Microstructure Noise
11%
Time-varying Parameter Model
10%
Asymptotic Efficiency
10%
Time-varying
10%
Process Parameters
10%
Buyers
8%
Bid/ask Spread
8%
Stochastic Volatility
8%
Sampling
7%
Financial Economics
7%
Bid
6%
Seller
6%
Critical Value
5%
Simulation
5%
Mathematics
High-frequency Data
100%
Market Microstructure
78%
Cointegration
31%
Parametric Estimation
30%
Trade
28%
Volatility
25%
Estimator
22%
Statistical Inference
22%
Time-varying Parameters
21%
Jump
20%
Time-varying
18%
Robust Estimators
17%
Bounce
17%
Central limit theorem
14%
Maximum Likelihood Estimator
13%
Endogeneity
11%
Local Likelihood
10%
Maximum Likelihood Estimation
10%
Bias Reduction
10%
Economics
10%
Linear Model
10%
Model
9%
Order Reduction
9%
Process Parameters
9%
Bias Correction
9%
Asymptotic Bias
9%
Plug-in
9%
Framework
9%
Microstructure
8%
Empirical Study
8%
Point Process
7%
Estimate
6%
Monte Carlo Simulation
6%
Convergence Rate
6%
Asymptotic Limit
5%
kernel
5%
First-order
5%
