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Search: subject:"microstructure noise"
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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
All
Free
149
Undetermined
97
CC license
1
Type of publication
All
Book / Working Paper
143
Article
127
Type of publication (narrower categories)
All
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
All
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
All
RePEc
121
ECONIS (ZBW)
117
EconStor
31
BASE
1
Showing
41
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270
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41
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
42
Electricity intraday price modelling with marked Hawkes processes
Deschatre, Thomas
;
Gruet, Pierre
- In:
Applied mathematical finance
29
(
2022
)
4
,
pp. 227-260
Persistent link: https://www.econbiz.de/10014291942
Saved in:
43
New evidence on market response to public announcements in the presence of
microstructure
noise
Bian, Siyu
;
Serra, Teresa
;
García, Philip
;
Irwin, Scott H.
- In:
European journal of operational research : EJOR
298
(
2022
)
2
,
pp. 785-800
Persistent link: https://www.econbiz.de/10013206899
Saved in:
44
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
45
Directed acyclic graph based information shares for price discovery
Zema, Sebastiano Michele
- In:
Journal of economic dynamics & control
139
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013464838
Saved in:
46
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:
47
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Peluso, Stefano
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
Saved in:
48
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
49
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:
50
Nothing but noise? : price discovery across cryptocurrency exchanges
Dimpfl, Thomas
;
Peter, Franziska Julia
- In:
Journal of financial markets
54
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013273162
Saved in:
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