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~isPartOf:"Computational & mathematical organization theory"
~isPartOf:"International review of economics & finance : IREF"
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Search: subject_exact:"Noise trading"
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Noise Trading
23
Noise trading
23
Market microstructure
21
Marktmikrostruktur
21
Volatility
21
Volatilität
21
Estimation theory
18
Schätztheorie
18
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16
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Li, Yingying
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Computational & mathematical organization theory
International review of economics & finance : IREF
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17
Working paper / National Bureau of Economic Research, Inc.
13
Finance research letters
9
Economic modelling
7
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Pacific-Basin finance journal
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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
Transitions among states behind interactive agent model
Cheng, Po-Keng
- In:
Computational & mathematical organization theory
28
(
2022
)
1
,
pp. 27-51
Persistent link: https://www.econbiz.de/10013260230
Saved in:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
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:
6
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:
7
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:
8
Noise trading, institutional trading, and opinion divergence : evidence on intraday data in the Chinese stock market
Hu, Yingyi
;
Zhao, Tiao
;
Zhang, Lin
- In:
International review of economics & finance : IREF
68
(
2020
),
pp. 74-89
Persistent link: https://www.econbiz.de/10012486298
Saved in:
9
Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel H.
- In:
Journal of econometrics
215
(
2020
)
2
,
pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
Saved in:
10
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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