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isPartOf:"Journal of econometrics"
~person:"Archakov, Ilya"
~person:"Aït-Sahalia, Yacine"
~person:"Ghysels, Eric"
~person:"Li, Yingying"
~subject:"Noise Trading"
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Noise Trading
Volatility
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Volatilität
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Estimation theory
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Market microstructure
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Marktmikrostruktur
10
Schätztheorie
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Noise trading
9
Estimation
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Market microstructure noise
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Nichtparametrisches Verfahren
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Option pricing theory
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Realized volatility
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Archakov, Ilya
Aït-Sahalia, Yacine
Ghysels, Eric
Li, Yingying
Andersen, Torben
3
Bollerslev, Tim
3
Christensen, Kim
2
Clinet, Simon
2
Meddahi, Nour
2
Mykland, Per A.
2
Potiron, Yoann
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Zhang, Zhiyuan
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Zheng, Xinghua
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Bibinger, Markus
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Boswijk, Herman Peter
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Brunetti, Celso
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Cebiroglu, Gökhan
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Chen, Richard Y.
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Griffin, Jim E.
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Hautsch, Nikolaus
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Hounyo, Ulrich
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Hwang, Eunju
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Jacob, Jean
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Jing, Bingyi
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Kong, Xin-Bing
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Laeven, Roger J. A.
1
Lee, Suzanne S.
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Li, Jia
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Li, Yichu
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Li, Z. Merrick
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Liu, Guangying
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Liu, Zhi
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Nyawa, Serge
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Oomen, Roel
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Oomen, Roel C. A.
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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
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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
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:
5
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:
6
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:
7
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:
8
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:
9
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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