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~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Volatility
36
Bootstrap approach
34
Bootstrap-Verfahren
34
Theorie
29
Theory
29
Volatilität
29
stochastic volatility
27
Forecasting
23
realized volatility
23
Estimation theory
22
Schätztheorie
21
GARCH
18
high-frequency data
17
Stochastic process
16
Stochastischer Prozess
16
Time series analysis
16
Zeitreihenanalyse
16
long memory
16
jumps
13
Bootstrap
12
Estimation
12
likelihood inference
12
wild bootstrap
12
High-frequency data
11
Market microstructure
11
fractional integration
11
high frequency data
11
Capital income
10
Cointegration
10
High-Frequency Data
10
Kapitaleinkommen
10
Realized volatility
10
market microstructure noise
10
stable convergence
10
Central Limit Theorem
9
Forecasting model
9
Noise Trading
9
Noise trading
9
Prognoseverfahren
9
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English
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Hounyo, Ulrich
8
Gonçalves, Sílvia
6
Meddahi, Nour
6
Christensen, Kim
2
Podolskij, Mark
1
Thyrsgaard, Martin
1
Veliyev, Bezirgen
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Journal of econometrics
3
CREATES research paper
1
Econometric theory
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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ECONIS (ZBW)
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1
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
2
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
Saved in:
3
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2013
Persistent link: https://www.econbiz.de/10009790617
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
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2016
Persistent link: https://www.econbiz.de/10011479764
Saved in:
6
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2017
Persistent link: https://www.econbiz.de/10011731265
Saved in:
7
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Econometric theory
33
(
2017
)
4
,
pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Saved in:
8
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
-
2017
Persistent link: https://www.econbiz.de/10012265896
Saved in:
9
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:
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