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~subject:"Speculation"
~subject:"Stochastic process"
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Econometric analysis of financial and economic time series ; part a
1
Exchange rates and global financial policies
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Frictions, intermediaries, and the option market
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Recent advances in financial engineering : proceedings of the 2008 Daiwa International Workshop on Financial Engineering
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Volatility noise
Hofmann, Michael
- In:
Frictions, intermediaries, and the option market
,
(pp. 85-125)
.
2019
Persistent link: https://www.econbiz.de/10012179113
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2
Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
Andreev, Nikolay
;
Lapshin, Victor
- In:
Financial econometrics and empirical market microstructure
,
(pp. 13-23)
.
2015
Persistent link: https://www.econbiz.de/10011326759
Saved in:
3
The impact of FX central bank intervention in a noise trading framework
Beine, Michel
;
De Grauwe, Paul
;
Grimaldi, Marianna
- In:
Exchange rates and global financial policies
,
(pp. 189-216)
.
2014
Persistent link: https://www.econbiz.de/10010350406
Saved in:
4
Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato
;
Oya, Kosuke
- In:
Recent advances in financial engineering : proceedings …
,
(pp. 201-218)
.
2009
Persistent link: https://www.econbiz.de/10003871191
Saved in:
5
Volatility
Bandi, Federico M.
;
Russell, Jeffrey R.
- In:
Financial engineering
,
(pp. 183-222)
.
2008
Persistent link: https://www.econbiz.de/10003567122
Saved in:
6
Noise reduced realized volatility : a kalman filter approach
Owens, John P.
;
Steigerwald, Douglas G.
-
2006
Persistent link: https://www.econbiz.de/10003331379
Saved in:
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