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~isPartOf:"Journal of financial econometrics : official journal of the Society for Financial Econometrics"
~subject:"Theory"
~subject:"Wertpapierhandel"
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Search: subject_exact:"Mikrostrukturanalyse"
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Theory
Wertpapierhandel
Market microstructure
19
Marktmikrostruktur
19
Estimation theory
10
Schätztheorie
10
Noise Trading
8
Noise trading
8
Theorie
8
Volatility
8
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8
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7
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4
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microstructure noise
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Nichtparametrisches Verfahren
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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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9
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Lunde, Asger
2
Audrino, Francesco
1
Cont, Rama
1
Corsi, Fulvio
1
Dahlhaus, Rainer
1
Engle, Robert F.
1
Hautsch, Nikolaus
1
Jong, Frank de
1
Kukanov, Arseniy
1
Neddermeyer, Jan Christoph
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Pascual, Roberto
1
Schotman, Peter C.
1
Stoikov, Sasha
1
Tay, Anthony S. A.
1
Ting, Christopher
1
Tse, Yiu Kuen
1
Veredas, David
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
56
Journal of banking & finance
34
Journal of financial economics
31
Quantitative finance
31
Pacific-Basin finance journal
25
Journal of international financial markets, institutions & money
24
Market microstructure and liquidity
24
Finance research letters
23
Journal of economic dynamics & control
18
Journal of empirical finance
17
The European journal of finance
17
International review of financial analysis
16
Journal of econometrics
15
Economic modelling
14
CFS working paper series
13
The financial review : the official publication of the Eastern Finance Association
13
The review of financial studies
13
Research paper series / Swiss Finance Institute
11
Gabler Edition Wissenschaft
10
International review of economics & finance : IREF
10
Journal of financial and quantitative analysis : JFQA
10
NBER working paper series
10
Applied mathematical finance
9
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
9
International journal of theoretical and applied finance
9
Mathematical finance : an international journal of mathematics, statistics and financial theory
9
Research in international business and finance
9
Review of quantitative finance and accounting
9
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
9
Working paper
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
Economics letters
8
Europäische Hochschulschriften / 5
8
Journal of international money and finance
8
Management science : journal of the Institute for Operations Research and the Management Sciences
8
SFB 649 discussion paper
8
The journal of trading
8
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
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:
8
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:
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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