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~accessRights:"restricted"
~isPartOf:"Journal of econometrics"
~subject:"Asymmetrische Information"
~subject:"Noise Trading"
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Asymmetrische Information
Noise Trading
Market microstructure
20
Marktmikrostruktur
20
Noise trading
20
Volatility
20
Volatilität
20
Estimation theory
17
Schätztheorie
17
Time series analysis
16
Zeitreihenanalyse
16
Market microstructure noise
11
Börsenkurs
8
Capital income
8
Kapitaleinkommen
8
Share price
8
Estimation
7
High frequency data
7
High-frequency data
7
Microstructure noise
7
Nichtparametrisches Verfahren
7
Nonparametric statistics
7
Schätzung
7
Integrated volatility
6
Realized volatility
5
Analysis of variance
3
Jumps
3
Liquidity
3
Pre-averaging
3
Stochastic process
3
Stochastischer Prozess
3
Theorie
3
Theory
3
Varianzanalyse
3
Bootstrap approach
2
Bootstrap-Verfahren
2
Central limit theorem
2
Financial market
2
Finanzmarkt
2
Martingal
2
Martingale
2
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Article
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English
20
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Li, Yingying
5
Andersen, Torben
2
Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Christensen, Kim
2
Clinet, Simon
2
Potiron, Yoann
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Archakov, Ilya
1
Brunetti, Celso
1
Cebiroglu, Gökhan
1
Chen, Richard Y.
1
Christensen, Kimberly
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
Li, Jia
1
Li, Yichu
1
Li, Z. Merrick
1
Liu, Guangying
1
Liu, Zhi
1
Meddahi, Nour
1
Mykland, Per A.
1
Nyawa, Serge
1
Oomen, Roel
1
Podolskij, Mark
1
Renò, Roberto
1
Shin, Dong-wan
1
Thamrongrat, Nopporn
1
Thyrsgaard, Martin
1
Todorov, Viktor
1
Veliyev, B.
1
Veliyev, Bezirgen
1
Vellekoop, Michel H.
1
Xie, Shangyu
1
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Journal of econometrics
Discussion paper / Centre for Economic Policy Research
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
6
The review of financial studies
6
Pacific-Basin finance journal
5
International review of financial analysis
4
Applied economics letters
3
Econometric reviews
3
Economics letters
3
Journal of banking & finance
3
Quantitative finance
3
Applied mathematical finance
2
CEPR Discussion Papers
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Discussion papers / CEPR
2
Econometric theory
2
Finance and stochastics
2
International review of economics & finance : IREF
2
Journal of financial markets
2
Management science : journal of the Institute for Operations Research and the Management Sciences
2
Research in international business and finance
2
Review of quantitative finance and accounting
2
The American economic review
2
The European journal of finance
2
The North American journal of economics and finance : a journal of financial economics studies
2
The accounting review : a publication of the American Accounting Association
2
AEA papers and proceedings
1
Abacus : a journal of accounting, finance and business studies
1
American journal of agricultural economics
1
Annual review of financial economics
1
Applied economics
1
Asia-Pacific financial markets
1
China finance review international
1
Computational & mathematical organization theory
1
Decision analysis : a journal of the Institute for Operations Research and the Management Sciences, INFORMS
1
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
1
Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
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ECONIS (ZBW)
20
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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
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:
4
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:
5
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:
6
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:
7
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:
8
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:
9
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
10
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:
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