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~isPartOf:"Cambridge working papers in economics"
~isPartOf:"Quantitative finance"
~isPartOf:"Review of quantitative finance and accounting"
~isPartOf:"The review of economic studies"
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Search: subject_exact:"Noise trading"
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Noise Trading
19
Noise trading
19
Börsenkurs
12
Share price
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Market microstructure
10
Marktmikrostruktur
10
Volatility
9
Volatilität
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Nichtparametrisches Verfahren
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Noise traders
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Hoitash, Rani
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Li, Z. Merrick
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Linton, Oliver
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Aragó Manzana, Vicent
1
Bandi, F. M.
1
Cang, Yuquan
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Hung, Chen Chein
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Cambridge working papers in economics
Quantitative finance
Review of quantitative finance and accounting
The review of economic studies
Journal of econometrics
29
Working paper / National Bureau of Economic Research, Inc.
27
NBER working paper series
22
NBER Working Paper
20
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International review of economics & finance : IREF
12
Journal of banking & finance
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The review of financial studies
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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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International review of financial analysis
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
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6
Research paper series / Swiss Finance Institute
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SFB 649 discussion paper
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Applied economics letters
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Econometric reviews
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International journal of theoretical and applied finance
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The journal of futures markets
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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Journal of international money and finance
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Management science : journal of the Institute for Operations Research and the Management Sciences
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The North American journal of economics and finance : a journal of financial economics studies
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Applied financial economics
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CEPR Discussion Papers
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ECONIS (ZBW)
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1
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
2
Chasing noise in the stock market : an inquiry into the dynamics of investor sentiment and asset pricing
Sakariyahu, Rilwan
;
Paterson, Audrey
;
Chatzivgeri, Eleni
; …
- In:
Review of quantitative finance and accounting
62
(
2024
)
1
,
pp. 135-169
Persistent link: https://www.econbiz.de/10014502966
Saved in:
3
Antinoise in U.S. equity markets
Cheng, Enoch
;
Struck, Clemens C.
- In:
Quantitative finance
21
(
2021
)
12
,
pp. 2069-2087
Persistent link: https://www.econbiz.de/10012696815
Saved in:
4
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
5
A remedi for microstructure noise
Li, Z. Merrick
;
Linton, Oliver
-
2020
Persistent link: https://www.econbiz.de/10012692260
Saved in:
6
Dependent microstructure noise and integrated volatility : estimation from high-frequency data
Li, Z. Merrick
;
Laeven, Roger J. A.
;
Vellekoop, Michel
-
2019
Persistent link: https://www.econbiz.de/10012703138
Saved in:
7
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
8
Investor sentiment and the cross-section of stock returns : new theory and evidence
Ding, Wenjie
;
Mazouz, Khelifa
;
Wang, Qingwei
- In:
Review of quantitative finance and accounting
53
(
2019
)
2
,
pp. 493-525
Persistent link: https://www.econbiz.de/10012225936
Saved in:
9
The influence of intraday seasonality on volatility transmission pattern
Alemany, N.
;
Aragó Manzana, Vicent
;
Salvador, E.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
Saved in:
10
Modelling the shape of the limit order book
Platania, Federico
;
Serrano, Pedro
;
Tapia, Mikel
- In:
Quantitative finance
18
(
2018
)
9
,
pp. 1575-1597
Persistent link: https://www.econbiz.de/10011913208
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