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Journal of econometrics
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1
Daily price limits and destructive market behavior
Chen, Ting
;
Gao, Zhenyu
;
He, Jibao
;
Jiang, Wenxi
;
Xiong, Wei
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 249-264
Persistent link: https://www.econbiz.de/10012144975
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2
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
Saved in:
3
Mixture of distribution hypothesis : analyzing daily liquidity frictions and information flows
Darolles, Serge
;
LeFol, Gaëlle
;
Mero, Gulten
- In:
Journal of econometrics
201
(
2017
)
2
,
pp. 367-383
Persistent link: https://www.econbiz.de/10011920520
Saved in:
4
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:
5
The large-sample distribution of the maximum Sharpe ratio with and without short sales
Maller, Ross A.
;
Roberts, Steven
;
Tourky, Rabee
- In:
Journal of econometrics
194
(
2016
)
1
,
pp. 138-152
Persistent link: https://www.econbiz.de/10011705073
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6
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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7
High frequency market making : the role of speed
Aït-Sahalia, Yacine
;
Sağlam, Mehmet
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
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8
A reduced form framework for modeling volatility of speculative prices based on realized variation measures
Andersen, Torben
;
Bollerslev, Tim
;
Huang, Xin
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 176-189
Persistent link: https://www.econbiz.de/10009242526
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9
The behavior of speculative prices and the consistency of economic models
Webb, Robert I.
- In:
Journal of econometrics
27
(
1984
)
1
,
pp. 123-130
Persistent link: https://www.econbiz.de/10002971760
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10
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
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