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~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Theorie
88
Theory
88
Volatility
46
Volatilität
46
Börsenkurs
40
Share price
40
Estimation
30
Schätzung
30
Estimation theory
25
Schätztheorie
25
Market microstructure
24
Time series analysis
24
Zeitreihenanalyse
24
Stochastic process
22
Stochastischer Prozess
22
Forecasting model
21
Prognoseverfahren
21
Liquidity
20
Capital income
19
Correlation
19
Kapitaleinkommen
19
Korrelation
19
Liquidität
17
Securities trading
17
Wertpapierhandel
17
Financial crisis
13
Finanzkrise
13
USA
13
United States
13
ARCH model
11
ARCH-Modell
11
Portfolio selection
11
Portfolio-Management
11
Statistical distribution
11
Statistische Verteilung
11
Econophysics
10
Financial market
9
Finanzmarkt
9
Monte Carlo simulation
9
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5
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English
22
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Lillo, Fabrizio
12
Corsi, Fulvio
10
Audrino, Francesco
7
Bormetti, Giacomo
5
Peluso, Stefano
5
Bouchaud, Jean-Philippe
4
Tóth, Bence
3
Buccheri, Giuseppe
2
Farmer, J. Doyne
2
Taranto, Damian Eduardo
2
Aielli, Gian Piero
1
Barucca, Paolo
1
Bera, Anil K.
1
Bucci, Frederic
1
Campigli, Francesco
1
Cordoni, Francesco
1
Eisler, Zoltan
1
Ivliev, Sergey
1
Lehalle, Charles-Albert
1
Mariotti, Tommaso
1
Mastromatteo, Iacopo
1
Mira, Antonietta
1
Palit, Imon
1
Pirino, Davide
1
Taranto, Damian
1
Toscano, Giacomo
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
3
Quantitative finance
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
Dynamic games and applications : DGA
1
Handbook of financial markets : dynamics and evolution
1
Journal of applied econometrics
1
Journal of economic dynamics & control
1
Methods and finance : a unifying view on finance, mathematics and philosophy
1
Springer eBook Collection / Business and Economics
1
SpringerLink / Bücher
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ECONIS (ZBW)
22
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1
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
Saved in:
2
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
Saved in:
3
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:
4
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:
5
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:
6
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:
7
Realized correlation tick-by-tick
Corsi, Fulvio
;
Audrino, Francesco
-
2007
Persistent link: https://www.econbiz.de/10003419771
Saved in:
8
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:
9
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:
10
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
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