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~person:"Potiron, Yoann"
~person:"Zhang, Chuanhai"
~subject:"Zeitreihenanalyse"
~type:"article"
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Zeitreihenanalyse
Volatility
7
Volatilität
7
Börsenkurs
6
Share price
6
Estimation
4
High frequency data
4
Market microstructure
4
Market microstructure noise
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Potiron, Yoann
Zhang, Chuanhai
Li, Jia
10
Tauchen, George Eugene
9
Todorov, Viktor
9
Bollerslev, Tim
6
Li, Yingying
6
Hounyo, Ulrich
5
Liu, Zhi
5
Lai, Yu-Sheng
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Patton, Andrew J.
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Corbet, Shaen
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Journal of econometrics
3
Pacific-Basin finance journal
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ECONIS (ZBW)
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1
Identifying latent factors based on
high-frequency
data
Sun, Yucheng
;
Xu, Wen
;
Zhang, Chuanhai
- In:
Journal of econometrics
233
(
2023
)
1
,
pp. 251-270
Persistent link: https://www.econbiz.de/10014341048
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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