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~isPartOf:"Journal of econometrics"
~isPartOf:"The economic journal : the journal of the Royal Economic Society"
~subject:"Schätzung"
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Search: subject_exact:"Noise Trading"
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Schätzung
Noise Trading
32
Noise trading
32
Market microstructure
29
Marktmikrostruktur
29
Volatility
28
Volatilität
28
Estimation theory
22
Schätztheorie
22
Time series analysis
19
Zeitreihenanalyse
19
Market microstructure noise
12
Börsenkurs
11
Estimation
11
Share price
11
Capital income
8
Kapitaleinkommen
8
Microstructure noise
8
Nichtparametrisches Verfahren
8
Nonparametric statistics
8
Theorie
8
Theory
8
High frequency data
7
High-frequency data
7
Analysis of variance
6
Integrated volatility
6
Varianzanalyse
6
Realized volatility
5
Financial market
3
Finanzmarkt
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Forecasting model
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Jumps
3
Liquidity
3
Pre-averaging
3
Prognoseverfahren
3
Stochastic process
3
Stochastischer Prozess
3
Bootstrap approach
2
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2
CAPM
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English
11
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Bollerslev, Tim
2
Li, Yingying
2
Andersen, Torben
1
Bibinger, Markus
1
Boswijk, Herman Peter
1
Christensen, Kim
1
Clinet, Simon
1
Forni, Mario
1
Gambetti, Luca
1
Jing, Bingyi
1
Kong, Xin-Bing
1
Li, Jia
1
Lippi, Marco
1
Liu, Zhi
1
Meddahi, Nour
1
Nyawa, Serge
1
Potiron, Yoann
1
Sala, Luca
1
Thyrsgaard, Martin
1
Todorov, Viktor
1
Veliyev, Bezirgen
1
Winkelmann, Lars
1
Xie, Shangyu
1
Zhang, Congshan
1
Zhang, Lan
1
Zheng, Xinghua
1
Zhou, Bo
1
Zu, Yang
1
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Journal of econometrics
The economic journal : the journal of the Royal Economic Society
Finance research letters
4
Journal of banking & finance
4
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Journal of financial econometrics : official journal of the Society for Financial Econometrics
4
Review of quantitative finance and accounting
3
Applied economics letters
2
Economic modelling
2
Economics letters
2
Finance and stochastics
2
Journal of financial markets
2
The review of economic studies
2
AEA papers and proceedings
1
Applied economics
1
Computational economics
1
Econometric reviews
1
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Eurasian business review
1
Exchange rates and global financial policies
1
Exchange rates, capital flows and policy
1
Financial econometrics and empirical market microstructure
1
Global finance journal
1
International journal of business
1
International journal of financial engineering
1
International journal of theoretical and applied finance
1
International review of economics & finance : IREF
1
Journal of applied economics
1
Journal of financial econometrics
1
Journal of financial economics
1
Journal of the American Statistical Association : JASA
1
Management science : journal of the Institute for Operations Research and the Management Sciences
1
Models of futures markets
1
New Zealand economic papers
1
Open economies review
1
Pacific-Basin finance journal
1
Quantitative finance
1
Review of economics & finance
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Scottish journal of political economy : the journal of the Scottish Economic Society
1
The Singapore economic review
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ECONIS (ZBW)
11
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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
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:
3
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:
4
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
5
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
6
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
7
Noise bubbles
Forni, Mario
;
Gambetti, Luca
;
Lippi, Marco
;
Sala, Luca
- In:
The economic journal : the journal of the Royal …
127
(
2017
)
604
,
pp. 1940-1976
Persistent link: https://www.econbiz.de/10011757853
Saved in:
8
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:
9
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
Saved in:
10
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
Saved in:
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