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Search: subject_exact:"Noise Trading"
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Market microstructure
29
Marktmikrostruktur
29
Noise Trading
29
Noise trading
29
Volatility
26
Volatilität
26
Estimation theory
22
Schätztheorie
22
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19
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19
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12
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10
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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
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Jacob, Jean
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1
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Journal of econometrics
Journal of banking & finance
12
The review of financial studies
12
Economic modelling
11
International review of economics & finance : IREF
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
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Review of quantitative finance and accounting
7
International review of financial analysis
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Journal of financial markets
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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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The journal of futures markets
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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
4
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3
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3
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The economic journal : the journal of the Royal Economic Society
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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
2
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
2
European financial management : the journal of the European Financial Management Association
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ECONIS (ZBW)
29
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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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