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~subject:"Estimation"
~subject:"Market microstructure"
~type_genre:"Article in journal"
~type_genre:"Sammelwerk"
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Search: subject_exact:"Noise trading"
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Estimation
Market microstructure
Noise trading
384
Noise Trading
381
Theorie
162
Theory
162
Volatility
143
Volatilität
143
Börsenkurs
130
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130
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109
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74
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70
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70
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27
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22
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20
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Li, Yingying
6
Liu, Zhi
5
Meddahi, Nour
4
Podolskij, Mark
4
Potiron, Yoann
4
Russell, Jeffrey R.
4
Andersen, Torben
3
Bandi, Federico M.
3
Bollerslev, Tim
3
Christensen, Kim
3
Clinet, Simon
3
Gençay, Ramazan
3
Gradojevic, Nikola
3
Hautsch, Nikolaus
3
Hounyo, Ulrich
3
Li, Z. Merrick
3
Mykland, Per A.
3
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3
Aït-Sahalia, Yacine
2
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2
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Hu, Yingyi
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2
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2
Jacod, Jean
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Jing, Bingyi
2
Kunitomo, Naoto
2
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2
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2
Liu, Qiang
2
Lunde, Asger
2
Nolte, Ingmar
2
Oomen, Roel
2
Oomen, Roel C. A.
2
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Journal of econometrics
29
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
10
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Finance research letters
5
Journal of banking & finance
5
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4
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4
The North American journal of economics and finance : a journal of financial economics studies
4
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3
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3
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3
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3
Pacific-Basin finance journal
3
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3
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3
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2
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2
Decisions in economics and finance : DEF ; a journal of applied mathematics
2
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2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
2
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2
International review of economics & finance : IREF
2
Journal of empirical finance
2
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American journal of agricultural economics
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Econometrica : journal of the Econometric Society, an international society for the advancement of economic theory in its relation to statistics and mathematics
1
Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria
1
Empirical economics : a quarterly journal of the Institute for Advanced Studies
1
Eurasian business review
1
European journal of operational research : EJOR
1
Frontiers of economics in China : selected publications from Chinese universities
1
Global finance journal
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International journal of business
1
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ECONIS (ZBW)
146
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1
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146
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1
Differences between NZ and U.S. individual investor sentiment : more noise or more information?
Białkowski, Je̜drzej
;
Wagner, Moritz
;
Wei, Xiaopeng
- In:
New Zealand economic papers
58
(
2024
)
1
,
pp. 74-86
Persistent link: https://www.econbiz.de/10014511890
Saved in:
2
A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Nolte, Ingmar
; …
- In:
Quantitative finance
22
(
2022
)
8
,
pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
Saved in:
3
Estimating spot volatility under infinite variation jumps with dependent market microstructure noise
Liu, Qiang
;
Liu, Zhi
- In:
The econometrics journal
27
(
2024
)
2
,
pp. 278-298
Persistent link: https://www.econbiz.de/10015046377
Saved in:
4
Measuring the jump risk contribution under market microstructure noise : evidence from Chinese stock market
Yu, Chao
;
Zhao, Xujie
- In:
Romanian journal of economic forecasting
24
(
2021
)
1
,
pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
Saved in:
5
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
6
Information loss in volatility measurement with flat price trading
Phillips, Peter C. B.
;
Yu, Jun
- In:
Empirical economics : a quarterly journal of the …
64
(
2023
)
6
,
pp. 2957-2999
Persistent link: https://www.econbiz.de/10014329021
Saved in:
7
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
8
Noisy high frequency data-based estimation of volatility function with applications
Lin, Jinguan
;
Ye, Xuguo
;
Zhao, Yanyong
;
Hao, Hongxia
- In:
The Singapore economic review
68
(
2023
)
6
,
pp. 2127-2150
Persistent link: https://www.econbiz.de/10014500398
Saved in:
9
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
10
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
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