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~person:"Andersen, Torben"
~person:"Potiron, Yoann"
~subject:"Estimation"
~subject:"Market microstructure"
~type_genre:"Article in journal"
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Estimation
Market microstructure
Marktmikrostruktur
7
Noise Trading
7
Noise trading
7
Volatility
7
Volatilität
7
Market microstructure noise
6
Börsenkurs
5
Estimation theory
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Share price
5
High frequency data
3
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High-frequency data
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Andersen, Torben
Potiron, Yoann
Li, Yingying
6
Liu, Zhi
4
Meddahi, Nour
4
Podolskij, Mark
4
Russell, Jeffrey R.
4
Bandi, Federico M.
3
Bollerslev, Tim
3
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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
Corsi, Fulvio
2
García, Philip
2
Gonçalves, Sílvia
2
Hizmeri, Rodrigo
2
Hu, Yingyi
2
Hwang, Eunju
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Izzeldin, Marwan
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Jacod, Jean
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2
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2
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2
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2
Lunde, Asger
2
Nolte, Ingmar
2
Oomen, Roel
2
Oomen, Roel C. A.
2
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2
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Journal of econometrics
5
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
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ECONIS (ZBW)
7
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1
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:
2
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:
3
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:
4
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:
5
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:
6
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:
7
Realized volatility forecasting and market microstructure noise
Andersen, Torben
;
Bollerslev, Tim
;
Meddahi, Nour
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
Saved in:
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