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Nichtparametrisches Verfahren
Market microstructure
31
Marktmikrostruktur
31
Noise Trading
31
Noise trading
31
Volatility
27
Volatilität
27
Estimation theory
23
Schätztheorie
23
Time series analysis
20
Zeitreihenanalyse
20
Market microstructure noise
12
Estimation
10
Schätzung
10
Börsenkurs
9
Capital income
9
Kapitaleinkommen
9
Share price
9
Microstructure noise
8
Nonparametric statistics
8
High frequency data
7
High-frequency data
7
Theorie
7
Theory
7
Analysis of variance
6
Integrated volatility
6
Varianzanalyse
6
Realized volatility
5
Bootstrap approach
3
Bootstrap-Verfahren
3
Financial market
3
Finanzmarkt
3
Forecasting model
3
Jumps
3
Liquidity
3
Pre-averaging
3
Prognoseverfahren
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Stochastic process
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English
8
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Li, Yingying
3
Zheng, Xinghua
2
Bollerslev, Tim
1
Boswijk, Herman Peter
1
Christensen, Kim
1
Christensen, Kimberly
1
Clinet, Simon
1
Jacob, Jean
1
Li, Jia
1
Li, Yichu
1
Oomen, Roel
1
Podolskij, Mark
1
Potiron, Yoann
1
Renò, Roberto
1
Thamrongrat, Nopporn
1
Veliyev, B.
1
Xie, Shangyu
1
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Econometric theory
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
3
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Econometric reviews
1
Finance and stochastics
1
Financial econometrics and empirical market microstructure
1
Journal of financial economics
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The Singapore economic review
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ECONIS (ZBW)
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1
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:
2
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:
3
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:
4
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
5
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
6
Inference from high-frequency data : a subsampling approach
Christensen, Kimberly
;
Podolskij, Mark
;
Thamrongrat, Nopporn
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
Saved in:
7
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
8
Estimating spot volatility with high-frequency financial data
Zu, Yang
;
Boswijk, Herman Peter
- In:
Journal of econometrics
181
(
2014
)
2
,
pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
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