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The impact of macroeconomic news on quote adjustments, noise, and informational volatility
Hautsch, Nikolaus; Hess, Dieter; Veredas, David - 2010
are positively influenced by news. The proportion of noise-induced variances is highest before announcements and …
Persistent link: https://www.econbiz.de/10003947458
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Volatility forecasting and microstructure noise
Ghysels, Eric; Sinko, Arthur - In: Journal of econometrics 160 (2011) 1, pp. 257-271
Persistent link: https://www.econbiz.de/10009242520
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Realized volatility forecasting and market microstructure noise
Andersen, Torben; Bollerslev, Tim; Meddahi, Nour - In: Journal of econometrics 160 (2011) 1, pp. 220-234
Persistent link: https://www.econbiz.de/10009242523
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Covariance measurement in the presence of non-synchronous trading and market microstructure noise
Griffin, Jim E.; Oomen, Roel C. A. - In: Journal of econometrics 160 (2011) 1, pp. 58-68
Persistent link: https://www.econbiz.de/10009242550
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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
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Estimating spot volatility with high-frequency financial data
Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135
Persistent link: https://www.econbiz.de/10010473332
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Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.; Mykland, Per A. - In: Journal of econometrics 168 (2012) 2, pp. 396-406
Persistent link: https://www.econbiz.de/10009612713
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High frequency traders and the price process
Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45
Persistent link: https://www.econbiz.de/10012482736
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Dependent microstructure noise and integrated volatility estimation from high-frequency data
Li, Z. Merrick; Laeven, Roger J. A.; Vellekoop, Michel H. - In: Journal of econometrics 215 (2020) 2, pp. 536-558
Persistent link: https://www.econbiz.de/10012439499
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Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337
Persistent link: https://www.econbiz.de/10012302598