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  • Search: subject:"microstructure noise"
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Year of publication
Subject
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Market microstructure 114 Marktmikrostruktur 114 Volatilität 111 Volatility 108 Noise Trading 98 Noise trading 93 Zeitreihenanalyse 77 Schätztheorie 71 Time series analysis 71 Estimation theory 68 Microstructure noise 65 microstructure noise 65 Market microstructure noise 59 Börsenkurs 49 market microstructure noise 44 Share price 43 Theorie 41 Schätzung 40 Estimation 37 Capital income 33 Kapitaleinkommen 33 Theory 32 High-frequency data 31 Stochastischer Prozess 31 Nichtparametrisches Verfahren 30 Stochastic process 29 Nonparametric statistics 27 Varianzanalyse 27 Analysis of variance 26 High frequency data 22 Realized volatility 20 high-frequency data 18 jumps 18 Korrelation 17 Correlation 16 Microstructure Noise 16 realized volatility 16 Financial market 15 Finanzmarkt 15 Market Microstructure Noise 14
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Online availability
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Free 149 Undetermined 97 CC license 1
Type of publication
All
Book / Working Paper 143 Article 127
Type of publication (narrower categories)
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Article in journal 95 Aufsatz in Zeitschrift 95 Working Paper 46 Graue Literatur 21 Non-commercial literature 21 Arbeitspapier 19 Article 4 Thesis 1
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Language
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English 184 Undetermined 86
Author
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Podolskij, Mark 27 Bibinger, Markus 18 Christensen, Kim 15 Hautsch, Nikolaus 13 Vetter, Mathias 11 Hounyo, Ulrich 9 Li, Yingying 9 Bos, Charles S. 8 Corradi, Valentina 8 Distaso, Walter 8 Watanabe, Toshiaki 8 Meddahi, Nour 7 Oomen, Roel 7 Linton, Oliver 6 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 Finance and Stochastics 5 Journal of financial econometrics : official journal of the Society for Financial Econometrics 5 Cambridge working papers in economics 4 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 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 Journal of Econometrics 3 Quantitative finance 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 Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics 2 Economic modelling 2 Economics Bulletin 2 Economics Papers / Economics Group, Nuffield College, University of Oxford 2 Economics letters 2 FinMaP-Working Paper 2 FinMaP-Working Papers 2
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Source
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RePEc 121 ECONIS (ZBW) 117 EconStor 31 BASE 1
Showing 11 - 20 of 270
Cover Image
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
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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
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Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan; Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 239 (2024) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
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High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
Chen, Dachuan - In: Journal of econometrics 240 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10015075056
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Nonparametric estimation for high-frequency data incorporating trading information
Cui, Wenhao; Hu, Jie; Wang, Jiandong - In: Journal of econometrics 240 (2024) 1, pp. 1-22
Persistent link: https://www.econbiz.de/10015075085
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Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang; Liu, Zhi - In: The econometrics journal 27 (2024) 2, pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
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Determinants of commodity market liquidity
Jain, Pankaj K.; Kayhan, Ayla; Onur, Esen - In: The financial review : the official publication of the … 59 (2024) 1, pp. 9-30
Persistent link: https://www.econbiz.de/10014483130
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Cover Image
Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...
Persistent link: https://www.econbiz.de/10012663500
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Measuring the jump risk contribution under market microstructure noise : evidence from Chinese stock market
Yu, Chao; Zhao, Xujie - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
Saved in:
Cover Image
Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little about its alternatives. Studying high frequency crypto data gives us the unique possibility to confirm that cross market digital asset returns are driven by high frequency jumps...
Persistent link: https://www.econbiz.de/10012657696
Saved in:
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