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~isPartOf:"Econometric theory"
~isPartOf:"Journal of business & economic statistics : JBES ; a publication of the American Statistical Association"
~subject:"Bias"
~subject:"Volatilität"
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Market microstructure
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1
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1
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Econometric theory
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
Journal of econometrics
26
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
International review of economics & finance : IREF
5
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2
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Wirtschaftswissenschaftliche Diskussionspapiere / Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät: Diskussionspapier ...
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1
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
2
Disentangling sources of high frequency market microstructure noise
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
Saved in:
3
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
4
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
5
Bootstrapping pre-averaged realized volatility under market microstructure noise
Hounyo, Ulrich
;
Gonçalves, Sílvia
;
Meddahi, Nour
- In:
Econometric theory
33
(
2017
)
4
,
pp. 791-838
Persistent link: https://www.econbiz.de/10011810210
Saved in:
6
Flat-top realized Kernel estimation of quadratic covariation with nonsynchronous and noisy asset prices
Varneskov, Rasmus Tangsgaard
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
1
,
pp. 1-22
Persistent link: https://www.econbiz.de/10011691138
Saved in:
7
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus
;
Podolskij, Mark
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
2
,
pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Saved in:
8
Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
Saved in:
9
Assessing market microstructure effects via realized volatility measures with an application to the Dow Jones Industrial Average stocks
Awartani, Basel
;
Corradi, Valentina
;
Distaso, Walter
- In:
Journal of business & economic statistics : JBES ; a …
27
(
2009
)
2
,
pp. 251-265
Persistent link: https://www.econbiz.de/10003885789
Saved in:
10
Realized variance and market microstructure noise
Hansen, Peter Reinhard
;
Lunde, Asger
- In:
Journal of business & economic statistics : JBES ; a …
24
(
2006
)
2
,
pp. 127-161
Persistent link: https://www.econbiz.de/10003317169
Saved in:
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