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~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Nichtparametrisches Verfahren"
~subject:"Noise trading"
~subject:"Prognoseverfahren"
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Search: subject_exact:"Mikrostrukturanalyse"
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Correlation
Nichtparametrisches Verfahren
Noise trading
Prognoseverfahren
Market microstructure
52
Marktmikrostruktur
52
Volatility
41
Volatilität
41
Estimation theory
31
Schätztheorie
31
Noise Trading
29
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
17
Share price
17
Capital income
16
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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High frequency data
10
High-frequency data
10
Microstructure noise
10
Nonparametric statistics
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Analysis of variance
8
Varianzanalyse
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Realized volatility
7
Integrated volatility
6
CAPM
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Forecasting model
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Korrelation
5
Martingal
5
Martingale
5
Pre-averaging
5
Financial market
4
Finanzmarkt
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English
35
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Li, Yingying
5
Bollerslev, Tim
4
Christensen, Kim
4
Andersen, Torben
3
Podolskij, Mark
3
Aït-Sahalia, Yacine
2
Clinet, Simon
2
Hounyo, Ulrich
2
Meddahi, Nour
2
Mykland, Per A.
2
Oomen, Roel
2
Potiron, Yoann
2
Zhang, Zhiyuan
2
Zheng, Xinghua
2
Archakov, Ilya
1
Bandi, Federico M.
1
Bibinger, Markus
1
Boswijk, Herman Peter
1
Brunetti, Celso
1
Cebiroglu, Gökhan
1
Chen, Richard Y.
1
Christensen, Kimberly
1
Duong, Diep
1
Feng, Phoenix
1
Ghysels, Eric
1
Griffin, Jim E.
1
Hautsch, Nikolaus
1
Hong, Seok Young
1
Hwang, Eunju
1
Ikeda, Shin S.
1
Jacob, Jean
1
Jing, Bingyi
1
Kong, Xin-Bing
1
Laeven, Roger J. A.
1
Lam, Clifford
1
Lee, Suzanne S.
1
Li, Jia
1
Li, Yichu
1
Li, Z. Merrick
1
Linton, Oliver
1
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
Quantitative finance
10
The North American journal of economics and finance : a journal of financial economics studies
6
Economic modelling
5
Journal of banking & finance
5
SFB 649 discussion paper
5
CFS working paper series
4
Cambridge working papers in economics
4
Econometric reviews
4
Finance research letters
4
Journal of financial economics
4
Journal of forecasting
4
CREATES research paper
3
Cambridge-INET working papers
3
Econometrics : open access journal
3
Economics letters
3
Journal of financial markets
3
NBER Working Paper
3
NBER working paper series
3
Applied mathematical finance
2
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
2
ERIM report series research in management
2
Econometric theory
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics working paper
2
Finance and stochastics
2
Finmap working paper
2
International review of financial analysis
2
Journal of empirical finance
2
Pacific-Basin finance journal
2
SFB 649 Discussion Paper
2
Technical report / Sonderforschungsbereich 475 Komplexitätsreduktion in Multivariaten Datenstrukturen, Universität Dortmund
2
The European journal of finance
2
The journal of futures markets
2
The review of economic studies
2
Working paper / National Bureau of Economic Research, Inc.
2
24th Australasian Finance and Banking Conference 2011 Paper
1
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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
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:
8
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:
9
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:
10
A Hausman test for the presence of market microstructure noise in high frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
- In:
Journal of econometrics
211
(
2019
)
1
,
pp. 176-205
Persistent link: https://www.econbiz.de/10012303614
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