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Börsenkurs
Market microstructure
101
Marktmikrostruktur
101
Volatilität
101
Volatility
98
Noise Trading
87
Noise trading
82
Zeitreihenanalyse
69
Microstructure noise
64
Schätztheorie
63
Time series analysis
63
microstructure noise
63
Estimation theory
60
Market microstructure noise
54
Share price
49
Schätzung
47
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44
market microstructure noise
44
Nichtparametrisches Verfahren
37
Capital income
36
Kapitaleinkommen
36
Theorie
36
Nonparametric statistics
34
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27
Theory
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22
Stochastischer Prozess
21
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20
Stochastic process
19
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19
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18
high-frequency data
17
jumps
17
Microstructure Noise
16
realized volatility
16
Financial market
15
Finanzmarkt
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Market Microstructure Noise
14
Pre-averaging
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Li, Yingying
4
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4
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3
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3
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3
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2
Bu, Ruijun
2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
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2
Martin, Gael M.
2
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2
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2
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2
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2
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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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Journal of econometrics
11
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5
Quantitative finance
3
Applied mathematical finance
2
CFS Working Paper
2
Cambridge working papers in economics
2
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
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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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1
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1
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1
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ECONIS (ZBW)
49
EconStor
6
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1
Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
Saved in:
2
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
3
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
4
Realized volatility, price informativeness, and tick size : a market microstructure approach
Xiao, Xijuan
;
Yamamoto, Ryuichi
- In:
International review of economics & finance : IREF
89
(
2024
)
1
,
pp. 410-426
Persistent link: https://www.econbiz.de/10014446466
Saved in:
5
Estimation of common factors for
microstructure
noise
and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
6
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:
7
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
8
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
9
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
10
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
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