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High Frequency Market Microstructure Noise Estimates and Liquidity Measures. (2008). Ait-Sahalia, Yacine ; Yu, Jialin .
In: NBER Working Papers.
RePEc:nbr:nberwo:13825.

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  1. An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics. (2023). Ventre, Carmine ; Polukarov, Maria ; Cao, YI ; Li, Haochen.
    In: Papers.
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  3. Large Volatility Matrix Prediction with High-Frequency Data. (2019). Song, Xinyu.
    In: Papers.
    RePEc:arx:papers:1907.01196.

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  4. Estimating the Leverage Effect Using High Frequency Data. (2012). Russi, Guido .
    In: Review of Economics & Finance.
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  5. A Model of Stochastic Liquidity. (2003). Watanabe, Masahiro.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:ysm385.

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