Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model

Li, Yu-Ning orcid.org/0000-0003-1473-0146, Chen, Jia orcid.org/0000-0002-2791-2486 and Linton, Oliver (Accepted: 2022) Estimation of Common Factors for Microstructure Noise and Efficient Price in a High-frequency Dual Factor Model. Journal of Econometrics. ISSN 0304-4076 (In Press)

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Authors/Creators:
Copyright, Publisher and Additional Information: This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: Cointegration, Factor model, High-frequency data, Microstructure noise, Non-stationarity
Dates:
  • Accepted: 24 December 2022
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Funding Information:
FunderGrant number
ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC)ES/T01573X/1
Depositing User: Pure (York)
Date Deposited: 04 Jan 2023 10:30
Last Modified: 05 Oct 2023 12:00
Status: In Press
Refereed: Yes

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