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~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Theorie
50
Theory
50
Volatilität
34
Volatility
31
Estimation theory
22
Schätztheorie
22
Estimation
19
Schätzung
19
Stochastic process
18
Stochastischer Prozess
18
Time series analysis
17
Zeitreihenanalyse
17
Correlation
15
Korrelation
15
Börsenkurs
13
Capital income
13
Forecasting model
13
Kapitaleinkommen
13
Prognoseverfahren
13
Share price
13
Liquidity
12
Market microstructure
12
USA
10
United States
10
Liquidität
9
Monte Carlo simulation
9
Monte-Carlo-Simulation
9
Option pricing theory
9
Optionspreistheorie
9
Financial crisis
8
Finanzkrise
8
ARCH model
7
ARCH-Modell
7
Algorithm
6
Algorithmus
6
Electronic trading
6
Elektronisches Handelssystem
6
Portfolio selection
6
Portfolio-Management
6
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5
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2
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6
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English
11
Author
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Corsi, Fulvio
10
Audrino, Francesco
7
Peluso, Stefano
5
Buccheri, Giuseppe
2
Aielli, Gian Piero
1
Bormetti, Giacomo
1
Lillo, Fabrizio
1
Mira, Antonietta
1
Pirino, Davide
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
Journal of applied econometrics
1
Working papers on finance
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ECONIS (ZBW)
11
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1
Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data
Aielli, Gian Piero
;
Pirino, Davide
-
2023
Persistent link: https://www.econbiz.de/10014446493
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2
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003903350
Saved in:
3
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009719912
Saved in:
4
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
5
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003676667
Saved in:
6
Realized correlation tick-by-tick
Corsi, Fulvio
;
Audrino, Francesco
-
2007
Persistent link: https://www.econbiz.de/10003419771
Saved in:
7
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
3
,
pp. 377-397
Persistent link: https://www.econbiz.de/10011327583
Saved in:
8
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
9
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Peluso, Stefano
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
Saved in:
10
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
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