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~isPartOf:"Journal of econometrics"
~subject:"High-frequency data"
~subject:"Noise Trading"
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High-frequency data
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Todorov, Viktor
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Journal of econometrics
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
19
International review of economics & finance : IREF
12
Economic modelling
9
Finance research letters
9
Journal of banking & finance
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1
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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:
5
Volatility activity : specification and estimation
Todorov, Viktor
;
Tauchen, George Eugene
;
Grynkiv, Iaryna
- In:
Journal of econometrics
178
(
2014
)
1
,
pp. 180-193
Persistent link: https://www.econbiz.de/10010255447
Saved in:
6
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
Saved in:
7
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
Saved in:
8
The fine structure of equity-index option dynamics
Andersen, Torben
;
Bondarenko, Oleg
;
Todorov, Viktor
; …
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 532-546
Persistent link: https://www.econbiz.de/10011499756
Saved in:
9
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
Saved in:
10
Multivariate leverage effects and realized semicovariance GARCH models
Bollerslev, Tim
;
Patton, Andrew J.
;
Quaedvlieg, Rogier
- In:
Journal of econometrics
217
(
2020
)
2
,
pp. 411-430
Persistent link: https://www.econbiz.de/10012482780
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