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)
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Funding Information: | Funder Grant number ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/T01573X/1 |
Depositing User: | Pure (York) |
Date Deposited: | 04 Jan 2023 10:30 |
Last Modified: | 16 Oct 2024 18:57 |
Status: | In Press |
Refereed: | Yes |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:194883 |
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