# Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data

> Research article (Journal of Econometrics, 2017) · cited 10× · AI/ML

**Wikidata**: [openalex:W2727019312](https://www.wikidata.org/wiki/openalex:W2727019312)  
**Source**: https://4ort.xyz/entity/model-free-approaches-to-discern-non-stationary-microstructure-noise-and-time-varying-liquidity-in-high-frequency-data