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~isPartOf:"Journal of econometrics"
~subject:"Correlation"
~subject:"Prognoseverfahren"
~subject:"Theory"
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Search: subject_exact:"Mikrostrukturanalyse"
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Correlation
Prognoseverfahren
Theory
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
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Schätzung
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Market microstructure noise
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Theorie
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10
High-frequency data
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Microstructure noise
10
Nichtparametrisches Verfahren
10
Nonparametric statistics
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Forecasting model
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Korrelation
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Aït-Sahalia, Yacine
3
Andersen, Torben
2
Bollerslev, Tim
2
Christensen, Kim
2
Mykland, Per A.
2
Zhang, Lan
2
Brunetti, Celso
1
Chen, Fei
1
Diebold, Francis X.
1
Duong, Diep
1
Feng, Phoenix
1
Ghysels, Eric
1
Grammig, Joachim
1
Griffin, Jim E.
1
Heijden, Thijs van der
1
Hong, Seok Young
1
Hounyo, Ulrich
1
Ikeda, Shin S.
1
Lam, Clifford
1
Lee, Suzanne S.
1
Li, Yingying
1
Linton, Oliver
1
Liu, Shouwei
1
Mancini, Loriano
1
Meddahi, Nour
1
Medeiros, Marcelo C.
1
Oomen, Roel
1
Oomen, Roel C. A.
1
Park, Sujin
1
Patton, Andrew J.
1
Quaedvlieg, Rogier
1
Renault, Eric
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Renò, Roberto
1
Russel, Jeffrey R.
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Schorfheide, Frank
1
Sinko, Arthur
1
Swanson, Norman R.
1
Thyrsgaard, Martin
1
Todorov, Viktor
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Tsay, Ruey S.
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Journal of econometrics
Journal of financial markets
33
Journal of financial economics
25
Quantitative finance
25
Journal of banking & finance
20
Journal of economic dynamics & control
18
Journal of international financial markets, institutions & money
15
Market microstructure and liquidity
14
Journal of empirical finance
13
Finance research letters
12
The review of financial studies
12
The European journal of finance
11
CFS working paper series
10
Research paper series / Swiss Finance Institute
10
Economic modelling
9
Journal of financial econometrics : official journal of the Society for Financial Econometrics
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
NBER working paper series
9
Working paper / National Bureau of Economic Research, Inc.
9
Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
8
Discussion paper / Tinbergen Institute
8
Gabler Edition Wissenschaft
8
International journal of theoretical and applied finance
8
Journal of international money and finance
8
Beiträge des Fachbereichs Wirtschaftswissenschaften der Universität Osnabrück
7
Economics letters
7
Europäische Hochschulschriften / 5
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Journal of economic behavior & organization : JEBO
7
NES working paper series : working paper
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SFB 649 discussion paper
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The journal of trading
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Working papers / Economics Department, Georgetown University
7
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Finance and stochastics
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International review of financial analysis
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Swiss Finance Institute Research Paper
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ECONIS (ZBW)
22
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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
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:
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
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:
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
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:
7
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:
8
Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error
Park, Sujin
;
Hong, Seok Young
;
Linton, Oliver
- In:
Journal of econometrics
191
(
2016
)
2
,
pp. 325-347
Persistent link: https://www.econbiz.de/10011610563
Saved in:
9
A bias-corrected estimator of the covariation matrix of multiple security prices when both microstructure effects and sampling durations are persistent and endogenous
Ikeda, Shin S.
- In:
Journal of econometrics
193
(
2016
)
1
,
pp. 203-214
Persistent link: https://www.econbiz.de/10011704791
Saved in:
10
Empirical evidence on the importance of aggregation, asymmetry, and jumps for volatility prediction
Duong, Diep
;
Swanson, Norman R.
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 606-621
Persistent link: https://www.econbiz.de/10011499786
Saved in:
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