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~person:"Clinet, Simon"
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Börsenkurs
3
High frequency data
3
Market microstructure
3
Market microstructure noise
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Marktmikrostruktur
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Noise Trading
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Clinet, Simon
Podolskij, Mark
14
Christensen, Kim
11
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8
Li, Yingying
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6
Oomen, Roel
6
Aït-Sahalia, Yacine
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Journal of econometrics
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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ECONIS (ZBW)
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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:
2
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:
3
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:
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