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Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
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Estimating covariation : Epps effect, microstructure noise
Zhang, Lan - In: Journal of econometrics 160 (2011) 1, pp. 33-47
Persistent link: https://www.econbiz.de/10009242560
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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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Econometric analysis of multivariate realised QML : estimation of the covariation of equity prices under asynchronous trading
Shephard, Neil G.; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 1, pp. 19-42
Persistent link: https://www.econbiz.de/10011917413
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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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Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.; Mykland, Per A. - In: Journal of econometrics 200 (2017) 1, pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
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A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S. - In: Journal of econometrics 193 (2016) 1, pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
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Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach
Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446
Persistent link: https://www.econbiz.de/10011504612
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Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 222 (2021) 1,2, pp. 411-428
Persistent link: https://www.econbiz.de/10012619653