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~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Financial market"
~subject:"Market microstructure"
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Search: subject_exact:"Noise trader"
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Financial market
Market microstructure
Marktmikrostruktur
18
Noise Trading
18
Noise trading
18
Volatility
14
Volatilität
14
Estimation theory
11
Schätztheorie
11
Estimation
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1997-2002
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Aktienindex
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Buccheri, Giuseppe
2
Corsi, Fulvio
2
Lunde, Asger
2
Potiron, Yoann
2
Awartani, Basel
1
Bandi, Federico M.
1
Bormetti, Giacomo
1
Carrasco, Marine
1
Clinet, Simon
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1
Kalnina, Ilze
1
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1
Lillo, Fabrizio
1
Mancino, Maria Elvira
1
Meddahi, Nour
1
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1
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1
Neddermeyer, Jan Christoph
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1
Voev, Valeri
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
29
Working paper / National Bureau of Economic Research, Inc.
8
Economic modelling
7
NBER working paper series
6
NBER Working Paper
5
CFS working paper series
4
Journal of banking & finance
4
Journal of financial economics
4
Quantitative finance
4
SFB 649 discussion paper
4
The North American journal of economics and finance : a journal of financial economics studies
4
CREATES research paper
3
Cambridge working papers in economics
3
Cambridge-INET working papers
3
Econometric reviews
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Economics letters
3
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Discussion paper / LSE Financial Markets Group
2
ERIM report series research in management
2
Econometric theory
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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2
Finance and stochastics
2
Finance research letters
2
Finmap working paper
2
International review of financial analysis
2
Journal of empirical finance
2
Pacific-Basin finance journal
2
Research paper series / Swiss Finance Institute
2
SSE EFI working paper series in economics and finance
2
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
2
The journal of finance : the journal of the American Finance Association
2
The review of economic studies
2
The review of financial studies
2
24th Australasian Finance and Banking Conference 2011 Paper
1
American journal of agricultural economics
1
Artificial markets modeling : methods and applications
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ECONIS (ZBW)
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1
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
2
Disentangling sources of high frequency market microstructure noise
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
Saved in:
3
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
4
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Peluso, Stefano
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
Saved in:
5
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
6
Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
Saved in:
7
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
8
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
9
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
10
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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