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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~isPartOf:"Pacific-Basin finance journal"
~subject:"Volatility"
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Volatility
Noise Trading
16
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16
Market microstructure
10
Marktmikrostruktur
10
Volatilität
8
Börsenkurs
6
Share price
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microstructure noise
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Carrasco, Marine
1
Comerton-Forde, Carole
1
Dahlhaus, Rainer
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Gonçalves, Sílvia
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Hounyo, Ulrich
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Ikeda, Shin S.
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Pacific-Basin finance journal
Journal of econometrics
26
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
International review of economics & finance : IREF
5
Journal of banking & finance
5
Working paper / National Bureau of Economic Research, Inc.
5
Econometric reviews
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
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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
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2
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2
International journal of finance & economics : IJFE
2
International review of financial analysis
2
Journal of financial economics
2
NBER Working Paper
2
Review of quantitative finance and accounting
2
The economic journal : the journal of the Royal Economic Society
2
The journal of finance : the journal of the American Finance Association
2
The journal of futures markets
2
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Wirtschaftswissenschaftliche Diskussionspapiere / Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät: Diskussionspapier ...
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24th Australasian Finance and Banking Conference 2011 Paper
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American journal of agricultural economics
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1
Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai
;
Liu, Zhi
;
Liu, Qiang
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
Saved in:
2
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:
3
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:
4
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:
5
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
Saved in:
6
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
7
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
8
Opening and closing behavior following the introduction of call auctions in Singapore
Comerton-Forde, Carole
;
Lau, Sie-ting
;
McInish, Thomas H.
- In:
Pacific-Basin finance journal
15
(
2007
)
1
,
pp. 18-35
Persistent link: https://www.econbiz.de/10003408004
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