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~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Integrated volatility"
~subject:"Nichtparametrisches Verfahren"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Mikrostrukturanalyse"
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Correlation
Integrated volatility
Nichtparametrisches Verfahren
Prognoseverfahren
Market microstructure
52
Marktmikrostruktur
52
Volatility
41
Volatilität
41
Estimation theory
31
Schätztheorie
31
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29
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29
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
17
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Market microstructure noise
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Theory
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21
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Li, Yingying
4
Bollerslev, Tim
3
Andersen, Torben
2
Christensen, Kim
2
Clinet, Simon
2
Hounyo, Ulrich
2
Podolskij, Mark
2
Potiron, Yoann
2
Zheng, Xinghua
2
Boswijk, Herman Peter
1
Christensen, Kimberly
1
Duong, Diep
1
Feng, Phoenix
1
Ghysels, Eric
1
Hong, Seok Young
1
Ikeda, Shin S.
1
Jacob, Jean
1
Laeven, Roger J. A.
1
Lam, Clifford
1
Li, Jia
1
Li, Yichu
1
Li, Z. Merrick
1
Linton, Oliver
1
Meddahi, Nour
1
Medeiros, Marcelo C.
1
Oomen, Roel
1
Park, Sujin
1
Patton, Andrew J.
1
Quaedvlieg, Rogier
1
Renò, Roberto
1
Sinko, Arthur
1
Swanson, Norman R.
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Thamrongrat, Nopporn
1
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1
Veliyev, B.
1
Vellekoop, Michel H.
1
Xie, Shangyu
1
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1
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1
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Journal of econometrics
Quantitative finance
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
7
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Finance research letters
4
Journal of forecasting
4
The North American journal of economics and finance : a journal of financial economics studies
4
Econometric reviews
3
Econometrics : open access journal
3
Journal of financial economics
3
SFB 649 discussion paper
3
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
Finance and stochastics
2
Journal of banking & finance
2
Journal of financial markets
2
NBER Working Paper
2
NBER working paper series
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The European journal of finance
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ECONIS (ZBW)
21
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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
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:
4
From zero to hero : realized partial (co)variances
Bollerslev, Tim
;
Medeiros, Marcelo C.
;
Patton, Andrew J.
; …
- In:
Journal of econometrics
231
(
2022
)
2
,
pp. 348-360
Persistent link: https://www.econbiz.de/10013464800
Saved in:
5
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:
6
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:
7
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:
8
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim
;
Hounyo, Ulrich
;
Podolskij, Mark
- In:
Journal of econometrics
205
(
2018
)
2
,
pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Saved in:
9
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:
10
A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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