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~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Market microstructure"
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Search: subject_exact:"Mikrostrukturanalyse"
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Correlation
Market microstructure
Marktmikrostruktur
52
Volatility
41
Volatilität
41
Estimation theory
31
Schätztheorie
31
Noise Trading
29
Noise trading
29
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
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Share price
17
Capital income
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Estimation
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Kapitaleinkommen
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Schätzung
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Market microstructure noise
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Theorie
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Theory
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Microstructure noise
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Nichtparametrisches Verfahren
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Martingale
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52
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Li, Yingying
5
Mykland, Per A.
5
Aït-Sahalia, Yacine
4
Bollerslev, Tim
4
Christensen, Kim
4
Zhang, Lan
4
Andersen, Torben
3
Podolskij, Mark
3
Bandi, Federico M.
2
Bibinger, Markus
2
Clinet, Simon
2
Hounyo, Ulrich
2
Linton, Oliver
2
Meddahi, Nour
2
Oomen, Roel
2
Potiron, Yoann
2
Russell, Jeffrey R.
2
Winkelmann, Lars
2
Xiu, Dacheng
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Andreou, Elena
1
Archakov, Ilya
1
Boswijk, Herman Peter
1
Brunetti, Celso
1
Cebiroglu, Gökhan
1
Chen, Fei
1
Chen, Richard Y.
1
Christensen, Kimberly
1
Diebold, Francis X.
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Dijk, Dick van
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Duong, Diep
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Ghysels, Eric
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Grammig, Joachim
1
Griffin, Jim E.
1
Hautsch, Nikolaus
1
Heijden, Thijs van der
1
Hong, Seok Young
1
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Journal of econometrics
Journal of financial markets
88
Journal of banking & finance
72
Journal of financial economics
59
Quantitative finance
40
Finance research letters
39
Journal of international financial markets, institutions & money
39
Pacific-Basin finance journal
39
International review of financial analysis
36
Journal of empirical finance
35
Journal of international money and finance
28
Market microstructure and liquidity
25
The European journal of finance
25
International journal of finance & economics : IJFE
21
Journal of economic dynamics & control
21
NBER working paper series
21
The review of financial studies
21
The financial review : the official publication of the Eastern Finance Association
20
CFS working paper series
19
International review of economics & finance : IREF
19
Journal of financial and quantitative analysis : JFQA
19
Journal of financial econometrics : official journal of the Society for Financial Econometrics
19
Working paper / National Bureau of Economic Research, Inc.
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
17
Research paper series / Swiss Finance Institute
17
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
17
The journal of futures markets
16
Economics letters
15
Research in international business and finance
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Working paper
15
Economic modelling
14
NBER Working Paper
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Review of quantitative finance and accounting
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Discussion paper / Centre for Economic Policy Research
13
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
13
International journal of theoretical and applied finance
13
The North American journal of economics and finance : a journal of financial economics studies
13
The journal of finance : the journal of the American Finance Association
13
SFB 649 discussion paper
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ECONIS (ZBW)
52
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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
Volatility of volatility : estimation and tests based on noisy high frequency data with jumps
Li, Yingying
;
Liu, Guangying
;
Zhang, Zhiyuan
- In:
Journal of econometrics
229
(
2022
)
2
,
pp. 422-451
Persistent link: https://www.econbiz.de/10013441895
Saved in:
4
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:
5
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
6
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:
7
The observed asymptotic variance : hard edges, and a regression approach
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
222
(
2021
)
1,2
,
pp. 411-428
Persistent link: https://www.econbiz.de/10012619653
Saved in:
8
High frequency traders and the price process
Aït-Sahalia, Yacine
;
Brunetti, Celso
- In:
Journal of econometrics
217
(
2020
)
1
,
pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
Saved in:
9
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:
10
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
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