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~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Non-synchronous trading
17
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microstructure noise
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stable limit theorem
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non-synchronous data
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Bibinger, Markus
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Hwang, Eunju
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Lam, Clifford
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Liu, Junwei
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Journal of econometrics
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ECONIS (ZBW)
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1
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf
;
Bibinger, Markus
-
2014
We consider noisy non-
synchronous
discrete observations of a continuous semimartingale. Functional stable central limit …
Persistent link: https://www.econbiz.de/10010230564
Saved in:
2
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
Saved in:
3
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
Saved in:
4
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-
synchronous
trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
5
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
- In:
Journal of econometrics
184
(
2015
)
2
,
pp. 361-378
Persistent link: https://www.econbiz.de/10011339314
Saved in:
6
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:
7
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
Saved in:
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