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~isPartOf:"The economic journal : the journal of the Royal Economic Society"
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Search: subject_exact:"Noise Trading"
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Noise Trading
32
Noise trading
32
Market microstructure
29
Marktmikrostruktur
29
Volatility
28
Volatilität
28
Estimation theory
22
Schätztheorie
22
Time series analysis
19
Zeitreihenanalyse
19
Market microstructure noise
12
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11
Estimation
11
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11
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8
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Microstructure noise
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Nichtparametrisches Verfahren
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Analysis of variance
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32
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Li, Yingying
5
Andersen, Torben
3
Bollerslev, Tim
3
Christensen, Kim
3
Aït-Sahalia, Yacine
2
Clinet, Simon
2
Meddahi, Nour
2
Mykland, Per A.
2
Oomen, Roel
2
Podolskij, Mark
2
Potiron, Yoann
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Archakov, Ilya
1
Bandi, Federico M.
1
Bibinger, Markus
1
Boswijk, Herman Peter
1
Brunetti, Celso
1
Cebiroglu, Gökhan
1
Chen, Richard Y.
1
Christensen, Kimberly
1
Forni, Mario
1
Gambetti, Luca
1
Ghysels, Eric
1
Griffin, Jim E.
1
Hautsch, Nikolaus
1
Hounyo, Ulrich
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Hwang, Eunju
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Jacob, Jean
1
Jing, Bingyi
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Kong, Xin-Bing
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Laeven, Roger J. A.
1
Lee, Suzanne S.
1
Li, Jia
1
Li, Yichu
1
Li, Z. Merrick
1
Lippi, Marco
1
Liu, Guangying
1
Liu, Zhi
1
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Journal of econometrics
The economic journal : the journal of the Royal Economic Society
International review of economics & finance : IREF
12
Journal of banking & finance
12
The review of financial studies
12
Economic modelling
11
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Finance research letters
9
Journal of financial economics
9
Pacific-Basin finance journal
9
The journal of finance : the journal of the American Finance Association
9
International review of financial analysis
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Review of quantitative finance and accounting
7
Journal of financial markets
6
Applied economics letters
5
Econometric reviews
5
International journal of theoretical and applied finance
5
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The journal of futures markets
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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
4
Journal of international money and finance
4
Management science : journal of the Institute for Operations Research and the Management Sciences
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The North American journal of economics and finance : a journal of financial economics studies
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3
Economic theory : official journal of the Society for the Advancement of Economic Theory
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Economics letters
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Journal of economic dynamics & control
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The journal of real estate finance and economics
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China finance review international
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Decisions in economics and finance : DEF ; a journal of applied mathematics
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Econometric theory
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Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
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European financial management : the journal of the European Financial Management Association
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ECONIS (ZBW)
32
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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
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:
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
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:
7
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
Saved in:
8
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
9
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
10
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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