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~isPartOf:"24th Australasian Finance and Banking Conference 2011 Paper"
~isPartOf:"Journal of econometrics"
~subject:"Noise Trading"
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Noise Trading
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24th Australasian Finance and Banking Conference 2011 Paper
Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
8
International review of economics & finance : IREF
6
Journal of financial econometrics : official journal of the Society for Financial Econometrics
6
Journal of banking & finance
5
Working paper / National Bureau of Economic Research, Inc.
5
Econometric reviews
4
SFB 649 discussion paper
4
Economics letters
3
NBER working paper series
3
Quantitative finance
3
SFB 649 Discussion Paper
3
The North American journal of economics and finance : a journal of financial economics studies
3
CESifo working papers : the international platform of Ludwig-Maximilians University's Center for Economic Studies and the Ifo Institute
2
CFS working paper series
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Cambridge working papers in economics
2
Cambridge-INET working papers
2
Discussion paper / Centre for Economic Policy Research
2
Discussion paper series / School of Economics and Finance, the University of Hong Kong
2
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economic modelling
2
Finance and stochastics
2
Finance research letters
2
Finmap working paper
2
International journal of finance & economics : IJFE
2
International review of financial analysis
2
Journal of financial economics
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NBER Working Paper
2
Pacific-Basin finance journal
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Review of quantitative finance and accounting
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The economic journal : the journal of the Royal Economic Society
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The journal of finance : the journal of the American Finance Association
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The journal of futures markets
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The review of economic studies
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Wirtschaftswissenschaftliche Diskussionspapiere / Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät: Diskussionspapier ...
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Working paper / Centre for Financial Research
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American journal of agricultural economics
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ECONIS (ZBW)
27
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1
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:
2
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:
3
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:
4
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:
5
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:
6
Inference from high-frequency data : a subsampling approach
Christensen, Kimberly
;
Podolskij, Mark
;
Thamrongrat, Nopporn
- In:
Journal of econometrics
197
(
2017
)
2
,
pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
Saved in:
7
Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data
Chen, Richard Y.
;
Mykland, Per A.
- In:
Journal of econometrics
200
(
2017
)
1
,
pp. 79-103
Persistent link: https://www.econbiz.de/10011897700
Saved in:
8
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:
9
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:
10
Estimating the integrated volatility using high-frequency data with zero durations
Liu, Zhi
;
Kong, Xin-Bing
;
Jing, Bingyi
- In:
Journal of econometrics
204
(
2018
)
1
,
pp. 18-32
Persistent link: https://www.econbiz.de/10011974707
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