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  • Search: subject:"Microstructure noise"
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Year of publication
Subject
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Market microstructure 119 Marktmikrostruktur 119 Volatilität 115 Volatility 112 Noise Trading 101 Noise trading 96 Zeitreihenanalyse 79 Schätztheorie 74 Time series analysis 73 Estimation theory 71 Microstructure noise 67 microstructure noise 67 Market microstructure noise 60 Börsenkurs 51 Share price 45 market microstructure noise 44 Schätzung 42 Theorie 42 Estimation 39 Capital income 34 Kapitaleinkommen 34 Theory 33 High-frequency data 31 Stochastischer Prozess 31 Nichtparametrisches Verfahren 30 Stochastic process 29 Varianzanalyse 29 Analysis of variance 28 Nonparametric statistics 27 High frequency data 22 Realized volatility 20 Korrelation 19 high-frequency data 19 Correlation 18 jumps 18 Financial market 16 Finanzmarkt 16 Microstructure Noise 16 realized volatility 16 Market Microstructure Noise 14
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Online availability
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Free 152 Undetermined 99 CC license 1
Type of publication
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Book / Working Paper 145 Article 130
Type of publication (narrower categories)
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Article in journal 97 Aufsatz in Zeitschrift 97 Working Paper 46 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 19 Article 4 Aufsatz im Buch 1 Book section 1 Thesis 1
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Language
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English 189 Undetermined 86
Author
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Podolskij, Mark 27 Bibinger, Markus 18 Christensen, Kim 17 Hautsch, Nikolaus 13 Vetter, Mathias 11 Hounyo, Ulrich 9 Li, Yingying 9 Bos, Charles S. 8 Corradi, Valentina 8 Distaso, Walter 8 Linton, Oliver 8 Watanabe, Toshiaki 8 Meddahi, Nour 7 Oomen, Roel 7 Liu, Zhi 6 Swanson, Norman R. 6 Ubukata, Masato 6 Veredas, David 6 Winkelmann, Lars 6 Aït-Sahalia, Yacine 5 Gonçalves, Sílvia 5 Hess, Dieter E. 5 Kinnebrock, Silja 5 Mykland, Per A. 5 Nagakura, Daisuke 5 Oya, Kosuke 5 Shephard, Neil 5 Yu, Jun 5 van Dijk, Dick 5 Hizmeri, Rodrigo 4 Izzeldin, Marwan 4 Jacod, Jean 4 Koopman, Siem Jan 4 Li, Z. Merrick 4 Martens, Martens, M.P.E. 4 Nagy, Odett 4 Potiron, Yoann 4 Saef, Danial 4 Sizov, Sergej 4 Varneskov, Rasmus Tangsgaard 4
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Institution
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School of Economics and Management, University of Aarhus 16 Institute of Economic Research, Hitotsubashi University 10 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 8 HAL 6 Department of Economics, Oxford University 4 Department of Economics, Rutgers University-New Brunswick 4 Graduate School of Economics, Osaka University 4 Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 Center for Financial Studies 2 Economics Group, Nuffield College, University of Oxford 2 Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam 2 Erasmus University Rotterdam, Econometric Institute 2 Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam 2 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 2 Institute for Monetary and Economic Studies, Bank of Japan 2 Tinbergen Institute 2 Tinbergen Instituut 2 Banco de México 1 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Department Volkswirtschaftslehre, Fachbereich für Wirtschaftswissenschaften 1 Department of Economics, University of California-Santa Barbara (UCSB) 1 Department of Economics, University of Peloponnese 1 Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 1 East Asian Bureau of Economic Research (EABER) 1 Econometric Society 1 Finance Research Centre, Oxford University 1 Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 Institute of Economic Research, Kyoto University 1 School of Economics and Political Science, Universität St. Gallen 1 School of Economics, Singapore Management University 1
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Published in...
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Journal of econometrics 30 CREATES Research Papers 16 Global COE Hi-Stat Discussion Paper Series 10 SFB 649 Discussion Paper 9 Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 8 SFB 649 Discussion Papers 8 Cambridge working papers in economics 6 Finance and Stochastics 5 Journal of financial econometrics : official journal of the Society for Financial Econometrics 5 Departmental Working Papers / Department of Economics, Rutgers University-New Brunswick 4 Discussion Papers in Economics and Business 4 Economics Series Working Papers / Department of Economics, Oxford University 4 MPRA Paper 4 Post-Print / HAL 4 Quantitative finance 4 Technical Report 4 Technical Reports / Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund 4 Tinbergen Institute Discussion Papers 4 Working Paper 4 CFS Working Paper Series 3 Cambridge-INET working papers 3 Econometric Reviews 3 Econometric reviews 3 Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics 3 Janeway Institute working paper series 3 Journal of Econometrics 3 Stochastic Processes and their Applications 3 The North American journal of economics and finance : a journal of financial economics studies 3 Applied mathematical finance 2 CFS Working Paper 2 CIE working paper series 2 Discussion paper / Tinbergen Institute 2 ERIM Report Series Research in Management 2 Econometric Institute Report 2 Econometric Institute Research Papers 2 Economic modelling 2 Economics Bulletin 2 Economics Papers / Economics Group, Nuffield College, University of Oxford 2 Economics letters 2 FinMaP-Working Paper 2
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Source
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ECONIS (ZBW) 122 RePEc 121 EconStor 31 BASE 1
Showing 1 - 10 of 275
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Does asynchronous market update matter? : re-examining the price discovery of stock index and futures in China
Han, Qian; Zhao, Chengzhi; Chen, Jing; Guo, Qian - In: Emerging markets review 67 (2025), pp. 1-25
Persistent link: https://www.econbiz.de/10015412163
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de/10015191535
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Understanding temporal dynamics of jumps in cryptocurrency markets : evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 605-638
Persistent link: https://www.econbiz.de/10015177138
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Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024
Persistent link: https://www.econbiz.de/10014521306
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Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
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Estimating factor-based spot volatility matrices with noisy and asynchronous high-frequency data
Li, Degui; Linton, Oliver; Zhang, Haoxuan - 2024
Persistent link: https://www.econbiz.de/10015481093
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Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485
Persistent link: https://www.econbiz.de/10014327571
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Jumps versus bursts : dissection and origins via a new endogenous thresholding approach
Zhao, Xiaolu; Hong, Seok Young; Linton, Oliver - 2024
Persistent link: https://www.econbiz.de/10015470722
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Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - In: Digital Finance 6 (2024) 4, pp. 605-638
Cryptocurrency markets have recently attracted significant attention due to their potential for high returns; however, their underlying dynamics, especially those concerning price jumps, continue to be explored. Building on previous research, this study examines the presence and clustering of...
Persistent link: https://www.econbiz.de/10015399588
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Price discovery in Bitcoin spot or futures? : the jury is out
Frino, Alex; Gaudiosi, Robert; Webb, Robert I.; Zhou, Zeyang - In: The journal of futures markets 45 (2025) 4, pp. 269-288
Persistent link: https://www.econbiz.de/10015376617
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