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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
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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 51 - 60 of 270
Cover Image
Volatility, information feedback and market microstructure noise: A tale of two regimes
Andersen, Torben G.; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017
We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...
Persistent link: https://www.econbiz.de/10011621279
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Cover Image
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2017
Persistent link: https://www.econbiz.de/10011731265
Saved in:
Cover Image
Volatility, information feedback and market microstructure noise : a tale of two regimes
Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017
We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...
Persistent link: https://www.econbiz.de/10011613905
Saved in:
Cover Image
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2017
Persistent link: https://www.econbiz.de/10012265896
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Cover Image
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011755339
Saved in:
Cover Image
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - 2016
Persistent link: https://www.econbiz.de/10011479764
Saved in:
Cover Image
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26
This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279
Saved in:
Cover Image
Analysis of high frequency data in finance: a survey
Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166
Persistent link: https://www.econbiz.de/10012670616
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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Cover Image
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
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