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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Institute research papers"
~person:"Chang, Chia-Lin"
~person:"Ghysels, Eric"
~person:"Mykland, Per A."
~subject:"Marktmikrostruktur"
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Marktmikrostruktur
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USA
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Chang, Chia-Lin
Ghysels, Eric
Mykland, Per A.
Li, Yingying
5
Bollerslev, Tim
4
Andersen, Torben
3
Aït-Sahalia, Yacine
3
Christensen, Kim
3
Bibinger, Markus
2
Clinet, Simon
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Dijk, Dick van
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Hounyo, Ulrich
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Martens, Martin
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Meddahi, Nour
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Winkelmann, Lars
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Zhang, Lan
2
Zhang, Zhiyuan
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Zheng, Xinghua
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Andreou, Elena
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Archakov, Ilya
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Bandi, Federico M.
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Boswijk, Herman Peter
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Chen, Fei
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Chen, Richard Y.
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Christensen, Kimberly
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Diebold, Francis X.
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Duong, Diep
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Feng, Phoenix
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Jacob, Jean
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Journal of econometrics
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1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Handbook of financial time series
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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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
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
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2
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
3
Between data cleaning and inference : pre-averaging and robust estimators of the efficient price
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
194
(
2016
)
2
,
pp. 242-262
Persistent link: https://www.econbiz.de/10011705124
Saved in:
4
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of econometrics
168
(
2012
)
2
,
pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
Saved in:
5
Volatility forecasting and microstructure noise
Ghysels, Eric
;
Sinko, Arthur
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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