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Faculty of Scien... [1]
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LIU ZHI [1]
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Journal article [1]
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2017 [1]
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英語English [1]
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Quantitative Fin... [1]
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Determining the integrated volatility via limit order kooks with multiple records
Journal article
Liu, Y.-Q., Liu, Q., Liu, Z., Ding, D.. Determining the integrated volatility via limit order kooks with multiple records[J]. Quantitative Finance, 2017, 1697-1714.
Authors:
Liu, Y.-Q.
;
Liu, Q.
;
Liu, Z.
;
Ding, D.
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TC[WOS]:
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TC[Scopus]:
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IF:
1.5
/
2.2
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Submit date：2022/07/27
High Frequency Data
Limite Order Books
Microstrucure Noise
Integrated Volatility
Multiple Records
