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Search: subject_exact:"Noise trading"
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High-frequency data
Noise Trading
859
Noise trading
845
Theorie
434
Theory
414
Volatilität
261
Börsenkurs
255
Volatility
252
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243
Market microstructure
199
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197
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147
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139
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132
Capital income
131
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131
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130
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95
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92
Estimation theory
91
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88
Time series analysis
88
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74
USA
74
Efficient market hypothesis
72
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72
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68
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67
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64
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63
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62
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62
Stochastischer Prozess
43
Wechselkurs
43
Speculation
42
Spekulation
42
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41
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40
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39
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39
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English
20
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Bollerslev, Tim
2
Christensen, Kimberly
2
Kunitomo, Naoto
2
Li, Yingying
2
Podolskij, Mark
2
Alemany, N.
1
Alemany, Nuria
1
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1
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1
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1
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1
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1
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1
Cartea, Álvaro
1
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1
Christensen, Kim
1
Diebold, Francis X.
1
Dong, Yingjie
1
Hounyo, Ulrich
1
Karyampas, Dimitrios
1
Laurent, Sébastien
1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of econometrics
7
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2
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2
Cambridge working papers in economics
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1
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1
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1
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1
International review of economics & finance : IREF
1
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1
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ECONIS (ZBW)
20
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1
Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
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
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:
4
Occupation density estimation for noisy high-frequency data
Zhang, Congshan
;
Li, Jia
;
Bollerslev, Tim
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Saved in:
5
The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
Economic modelling
93
(
2020
),
pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
Saved in:
6
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying
;
Xiang, Jing
;
Cang, Yuquan
- In:
Quantitative finance
20
(
2020
)
11
,
pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Saved in:
7
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
8
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
9
The influence of intraday seasonality on volatility transmission pattern
Alemany, N.
;
Aragó Manzana, Vicent
;
Salvador, E.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
Saved in:
10
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
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