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~subject:"Integrated volatility"
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Search: subject:"Market microstructure noise"
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Integrated volatility
Market microstructure noise
54
Market microstructure
48
Marktmikrostruktur
48
Volatility
46
Volatilität
45
market microstructure noise
44
Noise Trading
43
Noise trading
41
Schätztheorie
32
Estimation theory
31
Zeitreihenanalyse
28
Time series analysis
26
Börsenkurs
21
Capital income
19
Kapitaleinkommen
19
Schätzung
19
Share price
19
Estimation
18
High frequency data
15
Market Microstructure Noise
14
jumps
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
12
Realized volatility
12
Theorie
12
Theory
10
Varianzanalyse
10
high frequency data
10
high-frequency data
10
realized variance
10
Analysis of variance
9
Realized variance
9
quadratic variation
9
realized volatility
9
Pre-averaging
8
pre-averaging
8
Correlation
7
Forecasting model
7
High-frequency data
7
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8
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7
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7
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English
7
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1
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Li, Yingying
4
Potiron, Yoann
3
Zheng, Xinghua
3
Clinet, Simon
2
Zhang, Zhiyuan
2
Brownlees, Christian
1
Jacob, Jean
1
Li, Yichu
1
Mykland, Per A.
1
Nualart, Eulalia
1
Sun, Yucheng
1
Xie, Shangyu
1
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Journal of econometrics
5
Econometric reviews
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Stochastic Processes and their Applications
1
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ECONIS (ZBW)
7
RePEc
1
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1
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian
;
Nualart, Eulalia
;
Sun, Yucheng
- In:
Econometric reviews
39
(
2020
)
10
,
pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Saved in:
2
Local parametric estimation in high frequency data
Potiron, Yoann
;
Mykland, Per A.
- In:
Journal of business & economic statistics : JBES ; a …
38
(
2020
)
3
,
pp. 679-692
Persistent link: https://www.econbiz.de/10012262505
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
Estimating the integrated volatility with tick observations
Jacob, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Journal of econometrics
208
(
2019
)
1
,
pp. 80-100
Persistent link: https://www.econbiz.de/10012139788
Saved in:
5
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:
6
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
Saved in:
7
Efficient estimation of integrated volatility incorporating trading information
Li, Yingying
;
Xie, Shangyu
;
Zheng, Xinghua
- In:
Journal of econometrics
195
(
2016
)
1
,
pp. 33-50
Persistent link: https://www.econbiz.de/10011705231
Saved in:
8
Volatility inference in the presence of both endogenous time and microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Zheng, Xinghua
- In:
Stochastic Processes and their Applications
123
(
2013
)
7
,
pp. 2696-2727
In this article we consider the volatility inference in the presence of both
market
microstructure
noise
and endogenous …
Persistent link: https://www.econbiz.de/10010666234
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