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Search: subject_exact:"Noise trading"
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Estimation
Market microstructure
29
Marktmikrostruktur
29
Noise Trading
29
Noise trading
29
Volatility
26
Volatilität
26
Estimation theory
22
Schätztheorie
22
Time series analysis
19
Zeitreihenanalyse
19
Market microstructure noise
12
Schätzung
10
Börsenkurs
9
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9
Capital income
8
Kapitaleinkommen
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Microstructure noise
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Nichtparametrisches Verfahren
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Nonparametric statistics
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High-frequency data
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Analysis of variance
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Integrated volatility
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Theorie
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Theory
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Bollerslev, Tim
2
Li, Yingying
2
Andersen, Torben
1
Bibinger, Markus
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Christensen, Kim
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Clinet, Simon
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Jing, Bingyi
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1
Winkelmann, Lars
1
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1
Zhang, Congshan
1
Zhang, Lan
1
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1
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1
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Journal of econometrics
Finance research letters
4
Journal of banking & finance
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
10
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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
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:
3
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:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
6
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
7
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
8
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
Saved in:
9
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
Saved in:
10
Estimating covariation : Epps effect, microstructure noise
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
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