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~person:"Linton, Oliver"
~person:"Obižaeva, Anna"
~subject:"Financial market"
~subject:"Geld-Brief-Spanne"
~subject:"Share price"
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Financial market
Geld-Brief-Spanne
Share price
Market microstructure
28
Marktmikrostruktur
28
Volatility
13
Volatilität
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Bid-ask spread
10
Börsenkurs
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market microstructure
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invariance
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liquidity
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bid-ask spread
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volatility
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Linton, Oliver
Obižaeva, Anna
Hautsch, Nikolaus
27
Kyle, Albert S.
20
Theissen, Erik
17
O'Hara, Maureen
14
Horst, Ulrich
12
Lux, Thomas
12
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10
Lillo, Fabrizio
10
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9
Cont, Rama
9
Diebold, Francis X.
9
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9
Obizhaeva, Anna A.
9
Abergel, Frédéric
8
Ap Gwilym, Owain
8
Biais, Bruno
8
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8
Hung, Pi-Hsia
8
Stoll, Hans R.
8
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7
Hess, Dieter
7
Pascual, Roberto
7
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7
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6
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Ibikunle, Gbenga
6
Large, Jeremy
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Lien, Da-hsiang Donald
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Ryu, Doojin
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6
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
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ECONIS (ZBW)
18
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1
Nonparametric estimation of large spot volatility matrices for high-frequency financial data
Bu, Ruijun
;
Li, Degui
;
Linton, Oliver
;
Wang, Hanchao
-
2022
-
This version: March 16, 2022
Persistent link: https://www.econbiz.de/10013263439
Saved in:
2
Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning
;
Chen, Jia
;
Linton, Oliver
-
2021
Persistent link: https://www.econbiz.de/10013259517
Saved in:
3
Large bets and stock market crashes
Kyle, Albert S.
;
Obižaeva, Anna
- In:
Review of finance : journal of the European Finance …
27
(
2023
)
6
,
pp. 2163-2203
Persistent link: https://www.econbiz.de/10014445768
Saved in:
4
Market microstructure invariance: a dynamic equilibrium model
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494205
Saved in:
5
Adverse selection and liquidity: from theory to practice
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494209
Saved in:
6
Large bets and stock market crashes
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494212
Saved in:
7
The market impact puzzle
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494214
Saved in:
8
Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance
Kyle, Albert S.
;
Obižaeva, Anna
-
2020
Persistent link: https://www.econbiz.de/10012494216
Saved in:
9
Intraday trading invariancein the E-mini S&P 500 futures market
Andersen, Torben
;
Bondarenko, Oleg
;
Kyle, Albert S.
; …
-
2020
Persistent link: https://www.econbiz.de/10012494219
Saved in:
10
Invariance in buy-sell switching points
Bae, Kyoung-hun
;
Bondarenko, Oleg
;
Lee, Eun Jung
; …
-
2020
Persistent link: https://www.econbiz.de/10012494223
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