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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 61 - 70 of 270
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The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria; Aragó, Vicent; Salvador, Enrique - In: Economic modelling 93 (2020), pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - In: Journal of econometrics 219 (2020) 2, pp. 478-487
Persistent link: https://www.econbiz.de/10012483405
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Local parametric estimation in high frequency data
Potiron, Yoann; Mykland, Per A. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 3, pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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An iterative plug-in algorithm for realized kernels
Feng, Yuanhua; Zhou, Chen - Department Volkswirtschaftslehre, Fachbereich für … - 2015
volatility in the presence of microstructure noise. A crucial problem by applying realized kernels is the selection of the … bandwidth. This paper proposes an iterative plug-in algorithm to solve this problem under independent microstructure noise …
Persistent link: https://www.econbiz.de/10011122525
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Forecasting gains of robust realized variance estimators: evidence from European stock markets
Sharma, Prateek; Sharma, Swati - In: Economics Bulletin 35 (2015) 1, pp. 61-69
The classical realized variance (RV) estimator is biased due to microstructure effects and asset price jumps. Robust realized variance (RRV) estimators adjust for these biases, and make more efficient of use of the intraday data. This article examines the benefits of using RRV estimators instead...
Persistent link: https://www.econbiz.de/10011199668
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Wealth effects of rare earth prices and China’s rare earth elements policy
Müller, Maximilian Phillipp; Schweizer, Denis; Seiler, … - 2015
Persistent link: https://www.econbiz.de/10010484908
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An iterative plug-in algorithm for realized kernels
Feng, Yuanhua; Chen Zhou - 2015
Persistent link: https://www.econbiz.de/10010484911
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Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane; Uctum, Remzi - 2015
Persistent link: https://www.econbiz.de/10011736615
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