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isPartOf:"Journal of econometrics"
~isPartOf:"Journal of forecasting"
~isPartOf:"NBER Working Paper"
~subject:"Market microstructure"
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Search: subject_exact:"Volatility"
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Market microstructure
Volatility
868
Volatilität
868
Theorie
335
Theory
335
Estimation
201
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201
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187
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187
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177
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Bollerslev, Tim
5
Li, Yingying
5
Mykland, Per A.
5
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Christensen, Kim
3
Zhang, Lan
3
Ait-Sahalia, Yacine
2
Bibinger, Markus
2
Clinet, Simon
2
Hounyo, Ulrich
2
Meddahi, Nour
2
Podolskij, Mark
2
Potiron, Yoann
2
Winkelmann, Lars
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Andersen, Torben G.
1
Andreou, Elena
1
Archakov, Ilya
1
Bandi, Federico M.
1
Boswijk, Herman Peter
1
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1
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1
Cebiroglu, Gökhan
1
Chen, Fei
1
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1
Chen, Richard Y.
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Das, Ashish
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1
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1
Ghysels, Eric
1
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1
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1
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1
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Journal of econometrics
Journal of forecasting
NBER Working Paper
Journal of banking & finance
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
12
International review of financial analysis
10
Quantitative finance
10
Finance research letters
9
Journal of empirical finance
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Journal of financial economics
8
Journal of financial markets
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Research in international business and finance
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SFB 649 discussion paper
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Economic modelling
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International journal of finance & economics : IJFE
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Pacific-Basin finance journal
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Cambridge working papers in economics
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Econometric reviews
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Journal of financial and quantitative analysis : JFQA
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CESifo working papers
4
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4
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics letters
4
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
4
Finance and stochastics
4
International review of economics & finance : IREF
4
Journal of financial econometrics
4
Market microstructure and liquidity
4
Research paper series / Swiss Finance Institute
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Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück
3
Cambridge-INET working papers
3
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
3
Econometrics : open access journal
3
Empirical science of financial fluctuations : the advent of econophysics [proceedings of a workshop hosted by the Nihon Keizai Shimbun, Inc., and held in Tokyo, Nov. 15-17, 2000]
3
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ECONIS (ZBW)
46
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
3
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
4
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
5
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
6
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
7
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
8
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
9
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
10
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel H.
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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