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~person:"Bandi, Federico M."
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Noise Trading
5
Noise trading
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Market microstructure
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Bandi, Federico M.
Pierdzioch, Christian
16
Hautsch, Nikolaus
15
Podolskij, Mark
12
Collin-Dufresne, Pierre
11
Fos, Vyacheslav
11
Lux, Thomas
10
Li, Yingying
9
Stadtmann, Georg
9
Alfarano, Simone
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De Grauwe, Paul
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Dow, James
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Foucault, Thierry
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Li, Z. Merrick
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Meddahi, Nour
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Russ, David
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Aït-Sahalia, Yacine
7
Hounyo, Ulrich
7
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7
Vives, Xavier
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Gorton, Gary
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Gradojevic, Nikola
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Hassan, Tarek A.
6
Holden, Richard T.
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Jacod, Jean
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Jovanovic, Boyan
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Li, Tao
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Ljungqvist, Alexander
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Lorenzoni, Guido
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ECONIS (ZBW)
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Realized volatility forecasting in the presence of time-varying noise
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of business & economic statistics : JBES ; a …
31
(
2013
)
3
,
pp. 331-345
Persistent link: https://www.econbiz.de/10009785979
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2
Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of econometrics
160
(
2011
)
1
,
pp. 145-159
Persistent link: https://www.econbiz.de/10009242529
Saved in:
3
Volatility
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Financial engineering
,
(pp. 183-222)
.
2008
Persistent link: https://www.econbiz.de/10003567122
Saved in:
4
Using high-frequency data in dynamic portfolio choice
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Zhu, Yinghua
- In:
Econometric reviews
27
(
2008
)
1/3
,
pp. 163-198
Persistent link: https://www.econbiz.de/10003761222
Saved in:
5
Separating microstructure noise from volatility
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Journal of financial economics
79
(
2006
)
3
,
pp. 655-692
Persistent link: https://www.econbiz.de/10003289304
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