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

Yu-Ning Li, Jia Chen, Oliver Linton

Research output: Contribution to journalArticlepeer-review

Original languageEnglish
JournalJournal of Econometrics
Publication statusAccepted/In press - 24 Dec 2022

Bibliographical note

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Keywords

  • Cointegration, Factor model, High-frequency data, Microstructure noise, Non-stationarity

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