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~subject:"Market microstructure"
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Search: subject:"Non-synchronous Trading"
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Market microstructure
Non-synchronous trading
19
non-synchronous trading
9
Capital income
5
Kapitaleinkommen
5
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5
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5
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National stock exchange of India
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Non-Synchronous Trading
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Country Systematic Risk and Risk-Adjusted Performance
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Feng, Phoenix
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Journal of econometrics
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ECONIS (ZBW)
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A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data
Lam, Clifford
;
Feng, Phoenix
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 226-257
Persistent link: https://www.econbiz.de/10012110378
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2
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
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3
Disentangling the effect of jumps on systematic risk using a new estimator of integrated co-volatility
Wang, Kent
;
Liu, Junwei
;
Liu, Zhi
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1777-1786
Persistent link: https://www.econbiz.de/10009729461
Saved in:
4
Chapter 17 Microstructure and asset pricing
Easley, David
;
O'Hara, Maureen
-
2003
will examine the literature relating these correlation structures to microstructure factors such as
non-synchronous
trading
…
Persistent link: https://www.econbiz.de/10014023854
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