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ECONIS (ZBW)
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1
Volatility forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
Saved in:
2
Covariance
measurement
in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.
;
Oomen, Roel C. A.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 58-68
Persistent link: https://www.econbiz.de/10009242550
Saved in:
3
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
4
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
Saved in:
5
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
Saved in:
6
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
Saved in:
7
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
8
Realized volatility forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Saved in:
9
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Saved in:
10
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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