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~isPartOf:"Cambridge-INET working papers"
~isPartOf:"Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics"
~isPartOf:"Management science : journal of the Institute for Operations Research and the Management Sciences"
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Search: subject_exact:"Noise trading"
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Noise Trading
11
Noise trading
11
Börsenkurs
6
Share price
6
Market microstructure
5
Marktmikrostruktur
5
Theorie
5
Theory
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high frequency data
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2004
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Dependent microstructure noise
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Li, Z. Merrick
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Linton, Oliver
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Doblas-Madrid, Antonio
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Shephard, Neil G.
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Cambridge-INET working papers
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
Management science : journal of the Institute for Operations Research and the Management Sciences
Journal of econometrics
29
Working paper / National Bureau of Economic Research, Inc.
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NBER working paper series
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Discussion paper / Centre for Economic Policy Research
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International review of economics & finance : IREF
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Journal of banking & finance
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The review of financial studies
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Finance research letters
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Journal of financial economics
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Pacific-Basin finance journal
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The journal of finance : the journal of the American Finance Association
9
International review of financial analysis
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Review of quantitative finance and accounting
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Journal of financial markets
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Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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Applied economics letters
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Econometric reviews
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International journal of theoretical and applied finance
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Journal of international money and finance
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1
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
2
A remedi for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
-
2020
Persistent link: https://www.econbiz.de/10012692260
Saved in:
3
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
4
Do noisy stock prices impede real efficiency?
Xiao, Steven Chong
- In:
Management science : journal of the Institute for …
66
(
2020
)
12
,
pp. 5990-6014
Persistent link: https://www.econbiz.de/10012391494
Saved in:
5
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
6
Speculative investors and transactions tax : evidence from the housing market
Fu, Yuming
;
Qian, Wenlan
;
Yeung, Bernard
- In:
Management science : journal of the Institute for …
62
(
2016
)
11
,
pp. 3254-3270
Persistent link: https://www.econbiz.de/10011617110
Saved in:
7
Can noise create the size and value effects?
Arnott, Robert D.
;
Hsu, Jason C.
;
Liu, Jun
;
Markowitz, Harry
- In:
Management science : journal of the Institute for …
61
(
2015
)
11
,
pp. 2569-2579
Persistent link: https://www.econbiz.de/10011409071
Saved in:
8
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
9
A robust model of bubbles with multidimensional uncertainty
Doblas-Madrid, Antonio
- In:
Econometrica : journal of the Econometric Society, an …
80
(
2012
)
5
,
pp. 1845-1893
Persistent link: https://www.econbiz.de/10009665484
Saved in:
10
Is noise trading cancelled out by aggregation?
Yan, Hongjun
- In:
Management science : journal of the Institute for …
56
(
2010
)
7
,
pp. 1047-1059
Persistent link: https://www.econbiz.de/10003996511
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