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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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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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High frequency market making : the role of speed
Aït-Sahalia, Yacine; Sağlam, Mehmet - In: Journal of econometrics 239 (2024) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10015074464
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Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus; Neely, Christopher J.; Winkelmann, Lars - In: Journal of econometrics 209 (2019) 2, pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
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The drift burst hypothesis
Christensen, Kim; Oomen, Roel; Renò, Roberto - In: Journal of econometrics 227 (2022) 2, pp. 461-497
Persistent link: https://www.econbiz.de/10013442150
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Heterogeneity in households' stock market beliefs : levels, dynamics, and epistemic uncertainty
Gaudecker, Hans-Martin von; Wogrolly, Axel - In: Journal of econometrics 231 (2022) 1, pp. 232-247
Persistent link: https://www.econbiz.de/10013441983
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The conditional autoregressive Wishart model for multivariate stock market volatility
Golosnoy, Vasyl; Gribisch, Bastian; Liesenfeld, Roman - In: Journal of econometrics 167 (2012) 1, pp. 211-223
Persistent link: https://www.econbiz.de/10009551424
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Moments, shocks and spillovers in Markov-switching VAR models
Kole, Erik; Dijk, Dick van - In: Journal of econometrics 236 (2023) 2, pp. 1-26
Persistent link: https://www.econbiz.de/10014365495
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Stock co-jump networks
Ding, Yi; Li, Yingying; Liu, Guoli; Zheng, Xinghua - In: Journal of econometrics 239 (2024) 2, pp. 1-12
Persistent link: https://www.econbiz.de/10015074466
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Stochastic tail index model for high frequency financial data with Bayesian analysis
Mao, Guangyu; Zhang, Zhengjun - In: Journal of econometrics 205 (2018) 2, pp. 470-487
Persistent link: https://www.econbiz.de/10012110325