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~person:"Indriawan, Ivan"
~person:"Li, Yingying"
~subject:"Share price"
~type_genre:"Article in journal"
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Search: subject_exact:"Microstructure of markets"
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Share price
Market microstructure
11
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11
Volatility
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Börsenkurs
7
Estimation theory
7
Schätztheorie
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Market microstructure noise
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Indriawan, Ivan
Li, Yingying
Hung, Pi-Hsia
8
Frijns, Bart
6
Lien, Da-hsiang Donald
6
Lillo, Fabrizio
6
Theissen, Erik
6
Abergel, Frédéric
5
Bouchaud, Jean-Philippe
5
O'Hara, Maureen
5
Al-Yahyaee, Khamis Hamed
4
Andersen, Torben
4
Cont, Rama
4
Easley, David
4
Frino, Alex
4
Gau, Yin-feng
4
Hautsch, Nikolaus
4
Nolte, Ingmar
4
Potiron, Yoann
4
Tourani Rad, Alireza
4
Tóth, Bence
4
Alfonsi, Aurélien
3
Ben Ammar, Imen
3
Bormetti, Giacomo
3
Chen, Jing
3
Chung, Kee H.
3
Clinet, Simon
3
Cucuringu, Mihai
3
Grammig, Joachim
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Gurgul, Henryk
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Hellara, Slaheddine
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Horst, Ulrich
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Ibikunle, Gbenga
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Jiang, George J.
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Kalev, Petko S.
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Lehalle, Charles-Albert
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Mykland, Per A.
3
Nguyen, Giang H.
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Pascual, Roberto
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Piccotti, Louis R.
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Journal of econometrics
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 review of financial analysis
1
Journal of empirical finance
1
Journal of financial economics
1
Pacific-Basin finance journal
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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
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:
3
Market quality around macroeconomic news announcements : evidence from the Australian stock market
Indriawan, Ivan
- In:
Pacific-Basin finance journal
61
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012494893
Saved in:
4
The interactions between price discovery, liquidity and algorithmic trading for U.S.-Canadian cross-listed shares
Frijns, Bart
;
Indriawan, Ivan
;
Tourani Rad, Alireza
- In:
International review of financial analysis
56
(
2018
),
pp. 136-152
Persistent link: https://www.econbiz.de/10012006239
Saved in:
5
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
6
Macroeconomic news announcements and price discovery : evidence from Canadian-U.S. cross-listed firms
Frijns, Bart
;
Indriawan, Ivan
;
Tourani Rad, Alireza
- In:
Journal of empirical finance
32
(
2015
),
pp. 35-48
Persistent link: https://www.econbiz.de/10011556775
Saved in:
7
The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine
;
Fan, Jianqing
;
Li, Yingying
- In:
Journal of financial economics
109
(
2013
)
1
,
pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
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