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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 1 - 10 of 270
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de/10015191535
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Understanding temporal dynamics of jumps in cryptocurrency markets : evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 605-638
Persistent link: https://www.econbiz.de/10015177138
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Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024
Persistent link: https://www.econbiz.de/10014521306
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Understanding temporal dynamics of jumps in cryptocurrency markets: evidence from tick-by-tick data
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - In: Digital Finance 6 (2024) 4, pp. 605-638
Cryptocurrency markets have recently attracted significant attention due to their potential for high returns; however, their underlying dynamics, especially those concerning price jumps, continue to be explored. Building on previous research, this study examines the presence and clustering of...
Persistent link: https://www.econbiz.de/10015399588
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Estimation of rare disaster concerns from option prices—An arbitrage‐free RND‐based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: Journal of Futures Markets 43 (2023) 12, pp. 1807-1835
affected by microstructure noise. We extrapolate implied volatilities of far out‐of‐the‐money options by modeling the tails of …
Persistent link: https://www.econbiz.de/10014504042
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Estimation of rare disaster concerns from option prices : an arbitrage-free RND-based smile construction approach
Albert, Pascal; Herold, Michael; Muck, Matthias - In: The journal of futures markets 43 (2023) 12, pp. 1807-1835
Persistent link: https://www.econbiz.de/10014433013
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Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485
Persistent link: https://www.econbiz.de/10014327571
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Price discovery in Bitcoin spot or futures? : the jury is out
Frino, Alex; Gaudiosi, Robert; Webb, Robert I.; Zhou, Zeyang - 2025
Persistent link: https://www.econbiz.de/10015376617
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - In: Journal of empirical finance 81 (2025), pp. 1-20
Persistent link: https://www.econbiz.de/10015405342
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Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun; Li, Degui; Linton, Oliver; Wang, Hanchao - 2022 - This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
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