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~person:"Andersen, Torben"
~person:"Liu, Zhi"
~person:"Potiron, Yoann"
~subject:"Estimation"
~subject:"Market microstructure"
~type_genre:"Article in journal"
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Search: subject_exact:"Noise trading"
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Estimation
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Noise Trading
12
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12
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12
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11
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9
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Andersen, Torben
Liu, Zhi
Potiron, Yoann
Li, Yingying
6
Meddahi, Nour
4
Podolskij, Mark
4
Russell, Jeffrey R.
4
Bandi, Federico M.
3
Bollerslev, Tim
3
Christensen, Kim
3
Clinet, Simon
3
Gençay, Ramazan
3
Gradojevic, Nikola
3
Hautsch, Nikolaus
3
Hounyo, Ulrich
3
Li, Z. Merrick
3
Mykland, Per A.
3
Zheng, Xinghua
3
Aït-Sahalia, Yacine
2
Buccheri, Giuseppe
2
Christensen, Kimberly
2
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2
García, Philip
2
Gonçalves, Sílvia
2
Hizmeri, Rodrigo
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Hu, Yingyi
2
Hwang, Eunju
2
Izzeldin, Marwan
2
Jacod, Jean
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Jing, Bingyi
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Kunitomo, Naoto
2
Laeven, Roger J. A.
2
Li, Jia
2
Liu, Guangying
2
Liu, Qiang
2
Lunde, Asger
2
Nolte, Ingmar
2
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2
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Journal of econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Finance and stochastics
1
Journal of the American Statistical Association : JASA
1
Pacific-Basin finance journal
1
The econometrics journal
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ECONIS (ZBW)
12
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1
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
2
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:
3
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
Saved in:
4
Disentangling sources of high frequency market microstructure noise
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
1
,
pp. 18-39
Persistent link: https://www.econbiz.de/10012424496
Saved in:
5
Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai
;
Liu, Zhi
;
Liu, Qiang
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
Saved in:
6
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
Saved in:
7
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
8
Efficient asymptotic variance reduction when estimating volatility in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
9
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
Saved in:
10
Jump-robust estimation of volatility with simultaneous presence of microstructure noise and multiple observations
Liu, Zhi
- In:
Finance and stochastics
21
(
2017
)
2
,
pp. 427-469
Persistent link: https://www.econbiz.de/10011944390
Saved in:
1
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