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Stochastic process
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36
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Symposium on Operations Research <24, 1999, Magdeburg>
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Zentrum für Europäische Wirtschaftsforschung
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Journal of econometrics
195
International journal of theoretical and applied finance
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Quantitative finance
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
85
Discussion paper / Tinbergen Institute
75
European journal of operational research : EJOR
74
Applied mathematical finance
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Finance and stochastics
70
The journal of computational finance
68
Econometric reviews
67
Computational economics
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Economics letters
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Finance research letters
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Journal of economic dynamics & control
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
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Journal of mathematical finance
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Journal of banking & finance
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Annals of finance
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Journal of empirical finance
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CREATES research paper
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Research paper series / Swiss Finance Institute
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Energy economics
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International journal of financial engineering
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The journal of futures markets
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Applied economics
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The North American journal of economics and finance : a journal of financial economics studies
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Econometrics : open access journal
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Review of derivatives research
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Economic modelling
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Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Discussion papers of interdisciplinary research project 373
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Mathematics of operations research
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Journal of risk and financial management : JRFM
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Operations research
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ECONIS (ZBW)
5,582
RePEc
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1
Efficient asymptotic variance reduction when estimating
volatility
in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
2
Analysis of high frequency data in finance: a survey
Jiang, George J.
;
Pan, Guanzhong
- In:
Frontiers of economics in China : selected publications …
15
(
2020
)
2
,
pp. 141-166
Persistent link: https://www.econbiz.de/10012670616
Saved in:
3
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:
4
On the estimation of integrated
volatility
in the presence of
jumps
and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
5
Estimating spot
volatility
under infinite variation
jumps
with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
6
Understanding temporal dynamics of
jumps
in cryptocurrency markets : evidence from tick-by-tick data
Saef, Danial
;
Nagy, Odett
;
Sizov, Sergej
;
Härdle, Wolfgang
- In:
Digital finance : smart data analytics, investment …
6
(
2024
)
4
,
pp. 605-638
Persistent link: https://www.econbiz.de/10015177138
Saved in:
7
Estimating the integrated
volatility
using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
8
Robust estimation and inference for
jumps
in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
Saved in:
9
A noise-robust estimator of
volatility
based on interquantile ranges
Yeh, Jin-huei
;
Wang, Jying-Nan
;
Kuan, Chung-ming
- In:
Review of quantitative finance and accounting
43
(
2014
)
4
,
pp. 751-779
Persistent link: https://www.econbiz.de/10010490993
Saved in:
10
Estimating the price impact of trades in a high-frequency microstructure model with
jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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