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isPartOf:"Journal of econometrics"
~person:"Archakov, Ilya"
~person:"Aït-Sahalia, Yacine"
~person:"Ghysels, Eric"
~person:"Li, Yingying"
~person:"Liu, Guangying"
~person:"Oomen, Roel"
~subject:"Noise Trading"
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Search: subject_exact:"Volatility"
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Noise Trading
Volatility
24
Volatilität
24
Market microstructure
11
Marktmikrostruktur
11
Estimation theory
10
Noise trading
10
Schätztheorie
10
Theorie
9
Theory
9
Estimation
8
Schätzung
8
Börsenkurs
7
Market microstructure noise
7
Share price
7
Capital income
6
Kapitaleinkommen
6
Time series analysis
6
Zeitreihenanalyse
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CAPM
5
Forecasting model
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Prognoseverfahren
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Nichtparametrisches Verfahren
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Nonparametric statistics
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Stochastic process
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Stochastischer Prozess
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ARCH-Modell
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Financial market
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Finanzmarkt
3
High frequency data
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High-frequency data
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Integrated volatility
3
Liquidity
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Option pricing theory
3
Optionspreistheorie
3
Realized volatility
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Factor analysis
2
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Financial crisis
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Archakov, Ilya
Aït-Sahalia, Yacine
Ghysels, Eric
Li, Yingying
Liu, Guangying
Oomen, Roel
Andersen, Torben
3
Bollerslev, Tim
3
Christensen, Kim
2
Clinet, Simon
2
Meddahi, Nour
2
Mykland, Per A.
2
Potiron, Yoann
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Bibinger, Markus
1
Boswijk, Herman Peter
1
Brunetti, Celso
1
Cebiroglu, Gökhan
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
1
Li, Z. Merrick
1
Liu, Zhi
1
Nyawa, Serge
1
Oomen, Roel C. A.
1
Podolskij, Mark
1
Renò, Roberto
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Shin, Dong-wan
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Journal of econometrics
Working paper / National Bureau of Economic Research, Inc.
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Journal of economic literature
1
Quantitative finance
1
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ECONIS (ZBW)
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1
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
2
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
3
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
The drift burst hypothesis
Christensen, Kim
;
Oomen, Roel
;
Renò, Roberto
- In:
Journal of econometrics
227
(
2022
)
2
,
pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
Saved in:
5
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
6
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
Saved in:
7
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
Saved in:
8
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
9
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:
10
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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