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subject:"Share price"
~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~person:"Antell, Jan"
~person:"Ikeda, Shin S."
~person:"Shephard, Neil G."
~person:"Taniguchi, Masanobu"
~subject:"Deutschland"
~subject:"Volatilität"
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Estimation theory
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Market microstructure
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abnormal return
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Antell, Jan
Ikeda, Shin S.
Shephard, Neil G.
Taniguchi, Masanobu
Ahlgren, Niklas
1
Andreou, Alena
1
Balter, Janine
1
Bos, Charles S.
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1
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1
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Lv, Jinchi
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Working paper series / Centre for Analytical Finance, University of Aarhus, Aarhus School of Business
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Tests for abnormal returns in the presence of event-induced cross-sectional correlation
Ahlgren, Niklas
;
Antell, Jan
- In:
Journal of financial econometrics : official journal of …
15
(
2017
)
2
,
pp. 286-301
Persistent link: https://www.econbiz.de/10011987446
Saved in:
2
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
3
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
4
Dynamics of trade-by-trade price movements: decomposition and models
Rydberg, Tina Hvild
;
Shephard, Neil G.
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
1
,
pp. 2-25
Persistent link: https://www.econbiz.de/10002220788
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