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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Theory"
~subject:"Varianzanalyse"
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Search: subject_exact:"Mikrostrukturanalyse"
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Varianzanalyse
Market microstructure
19
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Estimation theory
10
Schätztheorie
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Noise Trading
8
Noise trading
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Dahlhaus, Rainer
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1
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1
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1
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
Journal of financial markets
31
Journal of financial economics
25
Quantitative finance
23
Journal of econometrics
21
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
12
The European journal of finance
12
The review of financial studies
12
Finance research letters
11
CFS working paper series
10
Research paper series / Swiss Finance Institute
10
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
Economic modelling
8
Economics letters
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
Europäische Hochschulschriften / 5
7
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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Finance and stochastics
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International review of financial analysis
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Swiss Finance Institute Research Paper
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The journal of trading
6
Computational economics
5
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
5
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1
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:
2
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:
3
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
4
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:
5
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:
6
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
7
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:
8
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:
9
Integrated covariance estimation using high-frequency data in the presence of noise
Voev, Valeri
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
5
(
2007
)
1
,
pp. 68-104
Persistent link: https://www.econbiz.de/10003518286
Saved in:
10
Trades and quotes : a bivariate point process
Engle, Robert F.
;
Lunde, Asger
- In:
Journal of financial econometrics : official journal of …
1
(
2003
)
2
,
pp. 159-188
Persistent link: https://www.econbiz.de/10002214089
Saved in:
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