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~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Nichtparametrisches Verfahren"
~subject:"Prognoseverfahren"
~type_genre:"Aufsatz in Zeitschrift"
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Search: subject_exact:"Mikrostrukturanalyse"
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Correlation
Nichtparametrisches Verfahren
Prognoseverfahren
Market microstructure
52
Marktmikrostruktur
52
Volatility
41
Volatilität
41
Estimation theory
31
Schätztheorie
31
Noise Trading
29
Noise trading
29
Time series analysis
27
Zeitreihenanalyse
27
Börsenkurs
17
Share price
17
Capital income
16
Estimation
16
Kapitaleinkommen
16
Schätzung
16
Market microstructure noise
15
Theorie
14
Theory
14
High frequency data
10
High-frequency data
10
Microstructure noise
10
Nonparametric statistics
10
Analysis of variance
8
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8
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7
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6
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Forecasting model
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Korrelation
5
Martingal
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5
Pre-averaging
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Financial market
4
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Aufsatz in Zeitschrift
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English
19
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Li, Yingying
4
Bollerslev, Tim
3
Andersen, Torben
2
Christensen, Kim
2
Hounyo, Ulrich
2
Podolskij, Mark
2
Zheng, Xinghua
2
Boswijk, Herman Peter
1
Christensen, Kimberly
1
Clinet, Simon
1
Duong, Diep
1
Feng, Phoenix
1
Ghysels, Eric
1
Hong, Seok Young
1
Ikeda, Shin S.
1
Jacob, Jean
1
Lam, Clifford
1
Li, Jia
1
Li, Yichu
1
Linton, Oliver
1
Meddahi, Nour
1
Medeiros, Marcelo C.
1
Oomen, Roel
1
Park, Sujin
1
Patton, Andrew J.
1
Potiron, Yoann
1
Quaedvlieg, Rogier
1
Renò, Roberto
1
Sinko, Arthur
1
Swanson, Norman R.
1
Thamrongrat, Nopporn
1
Todorov, Viktor
1
Veliyev, B.
1
Xie, Shangyu
1
Zhang, Congshan
1
Zhang, Lan
1
Zhang, Zhiyuan
1
Zhou, Bo
1
Zu, Yang
1
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Journal of econometrics
Quantitative finance
8
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
5
Journal of forecasting
4
Econometric reviews
3
Econometrics : open access journal
3
Finance research letters
3
Journal of financial economics
3
The North American journal of economics and finance : a journal of financial economics studies
3
Journal of banking & finance
2
Journal of financial markets
2
The European journal of finance
2
The journal of futures markets
2
Applied economics
1
Applied financial economics
1
Business research
1
Central European journal of operations research : CEJOR ; official journal of the Austrian, Croatian, Czech, Hungarian, Slovakian and Slovenian OR Societies
1
Economic modelling
1
Economics : the open-access, open-assessment journal
1
Finance and stochastics
1
International economics : a journal published by CEPII (Center for research and expertise on the world economy)
1
International journal of forecasting
1
International journal of theoretical and applied finance
1
International review of financial analysis
1
Journal of economic dynamics & control
1
Journal of economics & business
1
Journal of empirical finance
1
Journal of financial econometrics
1
Journal of financial intermediation
1
Journal of marketing
1
Journal of money, credit and banking : JMCB
1
Journal of multinational financial management
1
Journal of risk
1
Journal of the American Statistical Association : JASA
1
Macroeconomic dynamics
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Macroeconomics and finance in emerging market economies
1
Managerial economics
1
Mathematical finance : an international journal of mathematics, statistics and financial economics
1
The Singapore economic review
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ECONIS (ZBW)
19
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19
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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
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:
6
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:
7
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:
8
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
Saved in:
9
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:
10
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
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