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subject:"Share price"
type_genre:"Article in journal"
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~subject:"Autokorrelation"
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Share price
Autokorrelation
Statistischer Test
Estimation theory
39
Schätztheorie
39
Volatility
16
Volatilität
16
Estimation
13
Schätzung
13
Forecasting model
10
Prognoseverfahren
10
Time series analysis
10
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10
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9
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Derivat
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3
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Achab, Massil
1
Bacry, E.
1
Cang, Yuquan
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Quantitative finance
Journal of econometrics
254
Economics letters
89
Econometric reviews
84
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
81
Econometric theory
74
The econometrics journal
46
Econometrics : open access journal
31
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28
Applied economics letters
23
Journal of empirical finance
22
Quantitative economics : QE ; journal of the Econometric Society
22
Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
21
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
20
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
18
Journal of financial econometrics
16
Regional science & urban economics
16
Journal of the American Statistical Association : JASA
15
Journal of banking & finance
14
Journal of forecasting
14
International journal of forecasting
12
Journal of time series econometrics
12
Oxford bulletin of economics and statistics
12
Journal of applied econometrics
11
Spatial economic analysis : the journal of the Regional Studies Association
11
Computational economics
10
Finance research letters
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Applied economics
9
International journal of economics and financial issues : IJEFI
9
Journal of risk and financial management : JRFM
9
Empirical economics : a quarterly journal of the Institute for Advanced Studies
8
Journal of financial economics
8
The review of economic studies
8
The review of financial studies
8
Cambridge working papers in economics
7
European journal of operational research : EJOR
7
Journal of financial and quantitative analysis : JFQA
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Statistical papers
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The European journal of finance
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ECONIS (ZBW)
9
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1
Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei
;
Ihnatiuk, Vitalii
;
Chen, Yu
;
Lin, Jiahe
; …
- In:
Quantitative finance
24
(
2024
)
5
,
pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander
;
Wheatley, Spencer
;
Sornette, Didier
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
Saved in:
4
Uncertainty shocks of Trump election in an interval model of stock market
Sun, Yuying
;
Qiao, Kenan
;
Wang, Shouyang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 865-879
Persistent link: https://www.econbiz.de/10012500201
Saved in:
5
Stock market trend prediction using a functional time series approach
Huang, Shih-Feng
;
Guo, Meihui
;
Chen, May-Ru
- In:
Quantitative finance
20
(
2020
)
1
,
pp. 69-79
Persistent link: https://www.econbiz.de/10012194855
Saved in:
6
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
7
The micro-price : a high-frequency estimator of future prices
Stoikov, Sasha
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 1959-1966
Persistent link: https://www.econbiz.de/10012262894
Saved in:
8
Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil
;
Bacry, E.
;
Muzy, J. F.
;
Rambaldi, M.
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
Saved in:
9
A Bayesian encompassing test using combined value-at-risk estimates
Tsiotas, Georgios
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 395-417
Persistent link: https://www.econbiz.de/10011906387
Saved in:
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