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~person:"Potiron, Yoann"
~person:"Zhang, Chuanhai"
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Search: subject:"High-Frequency Data"
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Volatility
7
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7
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6
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4
High frequency data
4
Market microstructure
4
Market microstructure noise
4
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Potiron, Yoann
Zhang, Chuanhai
Todorov, Viktor
19
Bollerslev, Tim
14
Li, Jia
14
Tauchen, George Eugene
13
Ben Omrane, Walid
9
Li, Yingying
8
Podolskij, Mark
8
Andersen, Torben
7
Hounyo, Ulrich
7
Liu, Zhi
7
Erdemlioglu, Deniz
6
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6
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6
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6
Papavassiliou, Vassilios G.
6
Patton, Andrew J.
6
Stübinger, Johannes
6
Yang, Xiye
6
Dungey, Mardi H.
5
Lunde, Asger
5
McAleer, Michael
5
Ryu, Doojin
5
Sanfelici, Simona
5
Varneskov, Rasmus Tangsgaard
5
Alexeev, Vitali
4
Aït-Sahalia, Yacine
4
Boudt, Kris
4
Dong, Yingjie
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Fan, Jianqing
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Hansen, Peter Reinhard
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Kalaitzoglou, Iordanis
4
Kunitomo, Naoto
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Lyócsa, Štefan
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Nishimura, Yusaku
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Swanson, Norman R.
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Thyrsgaard, Martin
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Journal of econometrics
4
Pacific-Basin finance journal
2
Economic modelling
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
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Futures trading activity and the jump risk of spot market : evidence from the bitcoin market
Zhang, Chuanhai
;
Ma, Huan
;
Liao, Xiaosai
- In:
Pacific-Basin finance journal
78
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014463770
Saved in:
2
Identifying latent factors based on
high-frequency
data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
Saved in:
3
Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Zhang, Chuanhai
;
Zhang, Zhengjun
;
Xu, Mengyu
;
Peng, Zhe
- In:
Economic modelling
119
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014249483
Saved in:
4
Disentangling sources of high frequency market microstructure noise
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
Saved in:
5
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:
6
Estimation of integrated quadratic covariation with endogenous sampling times
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 20-41
Persistent link: https://www.econbiz.de/10011818337
Saved in:
7
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:
8
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:
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