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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"ARCH-Modell"
~subject:"Volatility"
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ARCH-Modell
Volatility
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10
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Noise trading
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Carrasco, Marine
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Dahlhaus, Rainer
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of econometrics
41
Journal of banking & finance
13
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
11
International review of financial analysis
10
Quantitative finance
10
Journal of empirical finance
9
Finance research letters
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Journal of financial economics
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SFB 649 discussion paper
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International journal of finance & economics : IJFE
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Journal of international financial markets, institutions & money
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Pacific-Basin finance journal
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The European journal of finance
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The North American journal of economics and finance : a journal of financial economics studies
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CEFIR and NES working papers
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CFS working paper series
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Cambridge working papers in economics
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Journal of international money and finance
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Discussion paper / Humboldt-Universität zu Berlin, Sonderforschungsbereich 373 Quantifikation und Simulation Ökonomischer Prozesse
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
4
Economics letters
4
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
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Finance and stochastics
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International review of economics & finance : IREF
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Journal of financial econometrics
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Journal of risk and financial management : JRFM
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Market microstructure and liquidity
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Research paper series / Swiss Finance Institute
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1
Adaptive Realized Kernels
Carrasco, Marine
;
Kotchoni, Rachidi
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
4
,
pp. 757-797
Persistent link: https://www.econbiz.de/10011417704
Saved in:
2
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
3
A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke
;
Watanabe, Toshiaki
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
Saved in:
4
Rounding errors and volatility estimation
Li, Yingying
;
Mykland, Per A.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
Saved in:
5
Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia
;
Hounyo, Ulrich
;
Meddahi, Nour
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
4
,
pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
Saved in:
6
Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models
Dahlhaus, Rainer
;
Neddermeyer, Jan Christoph
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 174-212
Persistent link: https://www.econbiz.de/10010233600
Saved in:
7
Asymptotics of realized volatility with non-Gaussian ARCH(∞) Microstructure noise
Taniai, Hiroyuki
;
Usami, Takashi
;
Suto, Nobuyuki
; …
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 617-636
Persistent link: https://www.econbiz.de/10009671895
Saved in:
8
Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto
;
Veredas, David
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
Saved in:
9
Assessing the risk of liquidity suppliers on the basis of excess demand intensities
Hautsch, Nikolaus
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
2
,
pp. 189-215
Persistent link: https://www.econbiz.de/10002214097
Saved in:
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