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~person:"Cheung, Yin-Wong"
~person:"Menkhoff, Lukas"
~person:"Zhang, Lan"
~type:"article"
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Search: subject_exact:"Microstructure of markets"
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Market microstructure
18
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18
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11
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Estimation theory
5
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5
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Cheung, Yin-Wong
Menkhoff, Lukas
Zhang, Lan
O'Hara, Maureen
26
Easley, David
16
Frino, Alex
14
Theissen, Erik
14
Mykland, Per A.
11
Gradojevic, Nikola
10
Rime, Dagfinn
10
Ryu, Doojin
10
Grammig, Joachim
9
Hautsch, Nikolaus
9
Hung, Pi-Hsia
9
Subrahmanyam, Avanidhar
9
Aït-Sahalia, Yacine
8
Bouchaud, Jean-Philippe
8
Chung, Kee H.
8
Li, Yingying
8
Lillo, Fabrizio
8
Nolte, Ingmar
8
Russell, Jeffrey R.
8
Schwartz, Robert A.
8
Sensoy, Ahmet
8
Stoll, Hans R.
8
Van Ness, Robert A.
8
Abergel, Frédéric
7
Andersen, Torben
7
Ap Gwilym, Owain
7
Kyle, Albert S.
7
Lehalle, Charles-Albert
7
Lepone, Andrew
7
Lien, Da-hsiang Donald
7
Lyons, Richard K.
7
Marsh, Ian
7
Pagano, Michael S.
7
Reitz, Stefan
7
Spulber, Daniel F.
7
Taylor, Mark P.
7
Yamamoto, Ryuichi
7
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Journal of international money and finance
5
Journal of econometrics
4
Journal of financial markets
2
Journal of international economics
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
International finance
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International journal of finance & economics : IJFE
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Journal of the American Statistical Association : JASA
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ECONIS (ZBW)
18
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1
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10
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18
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1
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
2
Assessment of uncertainty in high frequency data : the observed asymptotic variance
Mykland, Per A.
;
Zhang, Lan
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
1
,
pp. 197-231
Persistent link: https://www.econbiz.de/10011738478
Saved in:
3
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
4
Ultra high frequency volatility estimation with dependent microstructure noise
Aït-Sahalia, Yacine
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 160-175
Persistent link: https://www.econbiz.de/10009242527
Saved in:
5
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
Saved in:
6
Trader see, trader do : how do (small) FX traders react to large counterparties' trades?
Menkhoff, Lukas
;
Schmeling, Maik
- In:
Journal of international money and finance
29
(
2010
)
7
,
pp. 1283-1302
Persistent link: https://www.econbiz.de/10009239674
Saved in:
7
Exchange rate management in emerging markets : intervention via an electronic limit order book
Melvin, Michael
;
Menkhoff, Lukas
;
Schmeling, Maik
- In:
Journal of international economics
79
(
2009
)
1
,
pp. 54-63
Persistent link: https://www.econbiz.de/10003903046
Saved in:
8
Whose trades convey information? : evidence from a cross-section of traders
Menkhoff, Lukas
;
Schmeling, Maik
- In:
Journal of financial markets
13
(
2010
)
1
,
pp. 101-128
Persistent link: https://www.econbiz.de/10003935480
Saved in:
9
Local information in foreign exchange markets
Menkhoff, Lukas
;
Schmeling, Maik
- In:
Journal of international money and finance
27
(
2008
)
8
,
pp. 1383-1406
Persistent link: https://www.econbiz.de/10003804921
Saved in:
10
Order flows, news, and exchange rate volatility
Frömmel, Michael
;
Mende, Alexander
;
Menkhoff, Lukas
- In:
Journal of international money and finance
27
(
2008
)
6
,
pp. 994-1012
Persistent link: https://www.econbiz.de/10003758313
Saved in:
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