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~isPartOf:"Journal of econometrics"
~subject:"Market microstructure noise"
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Search: subject_exact:"Mikrostrukturanalyse"
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Market microstructure noise
Market microstructure
52
Marktmikrostruktur
52
Volatility
41
Volatilität
41
Estimation theory
31
Schätztheorie
31
Noise Trading
29
Noise trading
29
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
17
Share price
17
Capital income
16
Estimation
16
Kapitaleinkommen
16
Schätzung
16
Theorie
14
Theory
14
High frequency data
10
High-frequency data
10
Microstructure noise
10
Nichtparametrisches Verfahren
10
Nonparametric statistics
10
Analysis of variance
8
Varianzanalyse
8
Realized volatility
7
Integrated volatility
6
CAPM
5
Correlation
5
Forecasting model
5
Korrelation
5
Martingal
5
Martingale
5
Pre-averaging
5
Prognoseverfahren
5
Financial market
4
Finanzmarkt
4
Jumps
4
Liquidity
4
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Undetermined
14
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Article
15
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15
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15
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English
15
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Li, Yingying
4
Andersen, Torben
2
Aït-Sahalia, Yacine
2
Clinet, Simon
2
Potiron, Yoann
2
Xiu, Dacheng
2
Zheng, Xinghua
2
Archakov, Ilya
1
Boswijk, Herman Peter
1
Brunetti, Celso
1
Cebiroglu, Gökhan
1
Hautsch, Nikolaus
1
Hong, Seok Young
1
Hounyo, Ulrich
1
Hwang, Eunju
1
Jacob, Jean
1
Li, Yichu
1
Linton, Oliver
1
Liu, Shouwei
1
Park, Sujin
1
Shephard, Neil G.
1
Shin, Dong-wan
1
Todorov, Viktor
1
Tse, Yiu Kuen
1
Xie, Shangyu
1
Zhang, Zhiyuan
1
Zhou, Bo
1
Zu, Yang
1
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
The North American journal of economics and finance : a journal of financial economics studies
2
Discussion paper / LSE Financial Markets Group
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Economics letters
1
Journal of empirical finance
1
Journal of financial economics
1
Pacific-Basin finance journal
1
Review of quantitative finance and accounting
1
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ECONIS (ZBW)
15
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15
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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
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:
4
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:
5
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
Saved in:
6
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:
7
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
8
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
Saved in:
9
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
10
Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.
;
Xiu, Dacheng
- In:
Journal of econometrics
201
(
2017
)
1
,
pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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