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Search: subject:"Market microstructure noise"
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Market microstructure
39
Marktmikrostruktur
39
Volatility
36
Volatilität
36
Noise Trading
32
Noise trading
32
Estimation theory
28
Market microstructure noise
28
Schätztheorie
28
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21
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21
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19
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19
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16
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16
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14
Kapitaleinkommen
14
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10
Nonparametric statistics
10
market microstructure noise
10
High frequency data
8
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7
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7
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7
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7
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7
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6
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4
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40
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Li, Yingying
6
Potiron, Yoann
4
Aït-Sahalia, Yacine
3
Clinet, Simon
3
Zheng, Xinghua
3
Andersen, Torben
2
Hong, Seok Young
2
Hounyo, Ulrich
2
Hwang, Eunju
2
Nolte, Ingmar
2
Shin, Dong-wan
2
Wang, Jying-Nan
2
Xiu, Dacheng
2
Yeh, Jin-huei
2
Archakov, Ilya
1
Bandi, Federico M.
1
Bannouh, Karim
1
Boswijk, Herman Peter
1
Brownlees, Christian
1
Brunetti, Celso
1
Bu, Ruijun
1
Cebiroglu, Gökhan
1
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1
Fan, Jianqing
1
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1
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1
Hautsch, Nikolaus
1
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1
Holý, Vladimír
1
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1
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1
Jacod, Jean
1
Jiang, George J.
1
Jurdi, Doureige J.
1
Kalnina, Ilze
1
Kuan, Chung-ming
1
Li, Jia
1
Li, Shaoyu
1
Li, Yichu
1
Li, Yifan
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Journal of econometrics
15
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
5
Econometric reviews
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
The North American journal of economics and finance : a journal of financial economics studies
2
Computational economics
1
Economics letters
1
Frontiers of economics in China : selected publications from Chinese universities
1
Journal of banking & finance
1
Journal of empirical finance
1
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1
Journal of financial economics
1
Journal of forecasting
1
Journal of risk and financial management : JRFM
1
Pacific-Basin finance journal
1
Review of quantitative finance and accounting
1
Romanian journal of economic forecasting
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ECONIS (ZBW)
40
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1
Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data
Holý, Vladimír
;
Tomanová, Petra
- In:
Computational economics
62
(
2023
)
1
,
pp. 463-485
Persistent link: https://www.econbiz.de/10014327571
Saved in:
2
Measuring the jump risk contribution under
market
microstructure
noise
: evidence from Chinese stock market
Yu, Chao
;
Zhao, Xujie
- In:
Romanian journal of economic forecasting
24
(
2021
)
1
,
pp. 32-47
Persistent link: https://www.econbiz.de/10012587109
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
The contribution of jump signs and activity to forecasting stock price volatility
Bu, Ruijun
;
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Murphy, …
- In:
Journal of empirical finance
70
(
2023
),
pp. 144-164
Persistent link: https://www.econbiz.de/10014423623
Saved in:
5
Forecasting stock return volatility : realized volatility-type or duration-based estimators
Fei, Tianlun
;
Liu, Xiaoquan
;
Wen, Conghua
- In:
Journal of forecasting
42
(
2023
)
7
,
pp. 1594-1621
Persistent link: https://www.econbiz.de/10014432725
Saved in:
6
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
7
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
8
Intraday jumps, liquidity, and U.S. macroeconomic news : evidence from exchange traded funds
Jurdi, Doureige J.
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
6/118
,
pp. 1-20
macroeconomic news surprises on the frequency of observing intraday jumps. It explicitly addresses
market
microstructure
noise
…
Persistent link: https://www.econbiz.de/10012305143
Saved in:
9
Weighted least squares realized covariation estimation
Li, Yifan
;
Nolte, Ingmar
;
Vasios, Michalis
;
Voev, Valeri
; …
- In:
Journal of banking & finance
137
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013460187
Saved in:
10
Local mispricing and microstructural noise : a parametric perspective
Andersen, Torben
;
Archakov, Ilya
;
Cebiroglu, Gökhan
; …
- In:
Journal of econometrics
230
(
2022
)
2
,
pp. 510-534
Persistent link: https://www.econbiz.de/10013464102
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