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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Adverse Selektion"
~subject:"Wertpapierhandel"
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Adverse Selektion
Wertpapierhandel
Market microstructure
19
Marktmikrostruktur
19
Estimation theory
10
Schätztheorie
10
Noise Trading
8
Noise trading
8
Theorie
8
Theory
8
Volatility
8
Volatilität
8
Estimation
7
Schätzung
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Time series analysis
7
Zeitreihenanalyse
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Securities trading
4
Analysis of variance
3
Börsenkurs
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Capital income
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Correlation
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Kapitaleinkommen
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Share price
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Varianzanalyse
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microstructure noise
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ARCH model
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Handelsvolumen der Börse
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Monte Carlo simulation
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Nichtparametrisches Verfahren
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Nonparametric statistics
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State space model
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Trading volume
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high frequency data
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market microstructure
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market microstructure noise
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realized kernel
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Cont, Rama
1
Hautsch, Nikolaus
1
Jong, Frank de
1
Kukanov, Arseniy
1
Pascual, Roberto
1
Schotman, Peter C.
1
Stoikov, Sasha
1
Tay, Anthony S. A.
1
Ting, Christopher
1
Tse, Yiu Kuen
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Warachka, Mitch
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial markets
36
Journal of banking & finance
24
Quantitative finance
24
Pacific-Basin finance journal
23
Market microstructure and liquidity
22
Finance research letters
17
Journal of financial economics
16
Journal of international financial markets, institutions & money
16
The financial review : the official publication of the Eastern Finance Association
12
International review of financial analysis
11
Economic modelling
9
Journal of economic dynamics & control
9
The European journal of finance
9
Applied mathematical finance
8
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
8
Research in international business and finance
8
Review of quantitative finance and accounting
8
CFS working paper series
7
International review of economics & finance : IREF
7
Journal of empirical finance
7
Journal of financial and quantitative analysis : JFQA
7
SAFE working paper
7
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
7
CFS Working Paper
6
Gabler Edition Wissenschaft
6
International journal of theoretical and applied finance
6
Management science : journal of the Institute for Operations Research and the Management Sciences
6
NES working paper series : working paper
5
The journal of trading
5
Asia-Pacific journal of financial studies
4
Discussion paper
4
Discussion paper / Tinbergen Institute
4
Journal of risk and financial management : JRFM
4
Mathematical finance : an international journal of mathematics, statistics and financial economics
4
Mathematical finance : an international journal of mathematics, statistics and financial theory
4
Rodney L. White Center for Financial Research
4
SFB 649 discussion paper
4
Staff reports / Federal Reserve Bank of New York
4
Staff working papers / Bank of England
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ECONIS (ZBW)
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1
The price impact of order book events
Cont, Rama
;
Kukanov, Arseniy
;
Stoikov, Sasha
- In:
Journal of financial econometrics : official journal of …
12
(
2014
)
1
,
pp. 47-88
Persistent link: https://www.econbiz.de/10010233613
Saved in:
2
Price discovery in fragmented markets
Jong, Frank de
;
Schotman, Peter C.
- In:
Journal of financial econometrics : official journal of …
8
(
2010
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10003997323
Saved in:
3
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:
4
Using high-frequency transaction data to estimate the probability of informed trading
Tay, Anthony S. A.
;
Ting, Christopher
;
Tse, Yiu Kuen
; …
- In:
Journal of financial econometrics : official journal of …
7
(
2009
)
3
,
pp. 288-311
Persistent link: https://www.econbiz.de/10003884192
Saved in:
5
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
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