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isPartOf:"Journal of econometrics"
~isPartOf:"Econometric Reviews"
~person:"Ghysels, Eric"
~person:"Liu, Zhi"
~person:"Zheng, Xinghua"
~subject:"Noise Trading"
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Search: subject_exact:"Volatility"
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Noise Trading
Volatility
11
Volatilität
10
Estimation
4
Estimation theory
4
Market microstructure
4
Marktmikrostruktur
4
Noise trading
4
Schätztheorie
4
Schätzung
4
Time series analysis
4
Zeitreihenanalyse
4
Forecasting model
3
High frequency data
3
Prognoseverfahren
3
Theorie
3
Theory
3
Analysis of variance
2
Börsenkurs
2
CAPM
2
Capital income
2
Integrated volatility
2
Kapitaleinkommen
2
Market microstructure noise
2
Microstructure noise
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Share price
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USA
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Central limit theorem
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Ghysels, Eric
Liu, Zhi
Zheng, Xinghua
Li, Yingying
5
Andersen, Torben
3
Bollerslev, Tim
3
Aït-Sahalia, Yacine
2
Christensen, Kim
2
Clinet, Simon
2
Meddahi, Nour
2
Mykland, Per A.
2
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Zhang, Zhiyuan
2
Archakov, Ilya
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Boswijk, Herman Peter
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1
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1
Chen, Richard Y.
1
Christensen, Kimberly
1
Griffin, Jim E.
1
Hautsch, Nikolaus
1
Hounyo, Ulrich
1
Hwang, Eunju
1
Jacob, Jean
1
Jing, Bingyi
1
Kong, Xin-Bing
1
Laeven, Roger J. A.
1
Lee, Suzanne S.
1
Li, Jia
1
Li, Yichu
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Li, Z. Merrick
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Nyawa, Serge
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Oomen, Roel
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Oomen, Roel C. A.
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Podolskij, Mark
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Journal of econometrics
Econometric Reviews
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Finance and stochastics
1
Journal of the American Statistical Association : JASA
1
Pacific-Basin finance journal
1
The econometrics journal
1
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ECONIS (ZBW)
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Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
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2
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:
3
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
4
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
Saved in:
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