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accessRights:"free"
~accessRights:"restricted"
~person:"Andersen, Torben"
~subject:"Financial market regulation"
~subject:"Volatilität"
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Financial market regulation
Volatilität
Electronic trading
4
Elektronisches Handelssystem
4
Volatility
4
Market microstructure
3
Marktmikrostruktur
3
Time series analysis
3
Zeitreihenanalyse
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Börsenkurs
2
Futures
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Handelsvolumen der Börse
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Share price
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market microstructure
2
2008-2011
1
Analysis of variance
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Bid-ask spread
1
Functional Filtering
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Geld-Brief-Spanne
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High-Frequency Data
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Inference on Integrated Variance
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Inference on Jumps
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Integrated Quarticity
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Robust Neighborhood Truncation Estimator
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Robust statistics
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Statistical distribution
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USA
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United States
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high-frequency data
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high-frequency trad-ing
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intraday patterns
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invariance
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options
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volatility
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Andersen, Torben
Napoletano, Mauro
9
Jain, Pawan
6
Kirilenko, Andrei A.
6
Brogaard, Jonathan
5
Cartea, Álvaro
5
Riordan, Ryan
5
Aitken, Michael J.
4
Breckenfelder, Johannes
4
Cumming, Douglas J.
4
Fagiolo, Giorgio
4
Foucault, Thierry
4
Leal, Sandrine Jacob
4
Roventini, Andrea
4
Zhan, Feng
4
Aït-Sahalia, Yacine
3
Ben Ammar, Imen
3
Bibinger, Markus
3
Bollerslev, Tim
3
Bondarenko, Oleg
3
Frijns, Bart
3
Frino, Alex
3
Gao, Cheng
3
Hellara, Slaheddine
3
Hood, Benjamin
3
Huss, John
3
Härdle, Wolfgang
3
Ibikunle, Gbenga
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Jacob Leal, Sandrine
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Jain, Pankaj K.
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Kalev, Petko S.
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Kyle, Albert S.
3
Li, Sophia Zhengzi
3
Li, Yi
3
Lunde, Asger
3
Mahmoodzadeh, Soheil
3
McInish, Thomas H.
3
Mizrach, Bruce Marshall
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Neely, Christopher J.
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CEFIR and NES working papers
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International finance discussion papers
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Journal of financial econometrics
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ECONIS (ZBW)
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Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
2
A descriptive study of high-frequency trade and quote option data
Andersen, Torben
;
Archakov, Ilya
;
Grund, Leon
;
Hautsch, …
- In:
Journal of financial econometrics
19
(
2021
)
1
,
pp. 128-177
Persistent link: https://www.econbiz.de/10012504324
Saved in:
3
Intraday trading invariance in the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2016
Persistent link: https://www.econbiz.de/10011633490
Saved in:
4
A robust neighborhood truncation approach to estimation of integrated quarticity
Andersen, Torben
;
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2013
Persistent link: https://www.econbiz.de/10009735127
Saved in:
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