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~person:"Potiron, Yoann"
~person:"Zhang, Chuanhai"
~subject:"Marktmikrostruktur"
~type:"article"
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Marktmikrostruktur
Volatility
7
Volatilität
7
Börsenkurs
6
Share price
6
Estimation
4
High frequency data
4
Market microstructure
4
Market microstructure noise
4
Noise Trading
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Schätzung
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Time series analysis
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Zeitreihenanalyse
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Estimation theory
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High-frequency data
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Kapitaleinkommen
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Schätztheorie
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Theory
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Efficient price
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Integrated volatility
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Jumps
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Analysis of variance
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Potiron, Yoann
Zhang, Chuanhai
Li, Yingying
7
Liu, Zhi
4
Podolskij, Mark
4
Bollerslev, Tim
3
Clinet, Simon
3
Hounyo, Ulrich
3
Zheng, Xinghua
3
Andersen, Torben
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Christensen, Kim
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Christensen, Kimberly
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Cont, Rama
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Dijk, Dick van
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Dong, Yingjie
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Ikeda, Shin S.
2
Jing, Bingyi
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Kitamura, Yoshihiro
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Kunitomo, Naoto
2
Li, Jia
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Liu, Guangying
2
Meddahi, Nour
2
Nolte, Ingmar
2
Taylor, Stephen
2
Todorov, Viktor
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Tse, Yiu Kuen
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Zhang, Zhiyuan
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Abergel, Frédéric
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Journal of econometrics
2
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
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Pacific-Basin finance journal
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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
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:
3
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:
4
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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