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~subject:"Financial market"
~subject:"Market microstructure"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
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Financial market
Market microstructure
Marktmikrostruktur
8
Noise Trading
8
Noise trading
8
Volatility
6
Volatilität
6
Estimation theory
5
Schätztheorie
5
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microstructure noise
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Carrasco, Marine
1
Dahlhaus, Rainer
1
Gonçalves, Sílvia
1
Hounyo, Ulrich
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Ikeda, Shin S.
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Kotchoni, Rachidi
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Lunde, Asger
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Meddahi, Nour
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1
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1
Taniguchi, Masanobu
1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Working paper / National Bureau of Economic Research, Inc.
8
Economic modelling
7
NBER working paper series
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5
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4
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SFB 649 discussion paper
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The North American journal of economics and finance : a journal of financial economics studies
4
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Cambridge working papers in economics
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Cambridge-INET working papers
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Econometric reviews
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Economics letters
3
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Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Discussion paper / LSE Financial Markets Group
2
ERIM report series research in management
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
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Finance and stochastics
2
Finance research letters
2
Finmap working paper
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International review of financial analysis
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Journal of empirical finance
2
Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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SSE EFI working paper series in economics and finance
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Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
2
The journal of finance : the journal of the American Finance Association
2
The review of economic studies
2
The review of financial studies
2
24th Australasian Finance and Banking Conference 2011 Paper
1
American journal of agricultural economics
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Artificial markets modeling : methods and applications
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1
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
2
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
3
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
4
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
5
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
6
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
7
Estimating covariance via Fourier method in the presence of asynchronous trading and microstructure noise
Mancino, Maria Elvira
;
Sanfelici, Simona
- In:
Journal of financial econometrics : official journal of …
9
(
2011
)
2
,
pp. 367-408
Persistent link: https://www.econbiz.de/10009125733
Saved in:
8
Integrated covariance estimation using high-frequency data in the presence of noise
Voev, Valeri
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 68-104
Persistent link: https://www.econbiz.de/10003518286
Saved in:
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