Browsing by Author "Pirino, Davide"
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Statistical Inferences for Price Staleness
Kolokolov, Aleksey; Livieri, Giulia; Pirino, Davide (2018-11-06)Asset transaction prices sampled at high frequency are much staler than one might expect in the sense that they frequently lack new updates showing zero returns. In this paper, we propose a theoretical framework for ...