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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 71 - 80 of 270
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The influence of intraday seasonality on volatility transmission pattern
Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
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A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 211 (2019) 1, pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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High-dimensional multivariate realized volatility estimation
Bollerslev, Tim; Meddahi, Nour; Nyawa, Serge - In: Journal of econometrics 212 (2019) 1, pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
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The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
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Estimation of volatility in a high-frequency setting : a short review
Jacod, Jean - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 2, pp. 351-385
Persistent link: https://www.econbiz.de/10012127222
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Microstructure noise and realized variance in the live cattle futures market
Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578
Persistent link: https://www.econbiz.de/10012114677
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Bias-corrected realized variance
Yeh, Jin-huei; Wang, Jying-Nan - In: Econometric reviews 38 (2019) 2, pp. 170-192
Persistent link: https://www.econbiz.de/10012180719
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Estimating the integrated volatility with tick observations
Jacob, Jean; Li, Yingying; Zheng, Xinghua - In: Journal of econometrics 208 (2019) 1, pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
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Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf; Bibinger, Markus - 2014
We consider noisy non-synchronous discrete observations of a continuous semimartingale. Functional stable central limit theorems are established under high-frequency asymptotics in three setups: onedimensional for the spectral estimator of integrated volatility, from two-dimensional asynchronous...
Persistent link: https://www.econbiz.de/10010331125
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