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Market microstructure
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Li, Yingying
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Journal of econometrics
Journal of banking & finance
166
The accounting review : a publication of the American Accounting Association
144
Finance research letters
142
Journal of financial economics
140
International review of financial analysis
137
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122
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115
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109
Pacific-Basin finance journal
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Contemporary accounting research : a journal of the Canadian Academic Accounting Association
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Research in international business and finance
51
The journal of corporate finance : contracting, governance and organization
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49
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48
Research paper series / Swiss Finance Institute
46
Advances in accounting : a research annual
44
Applied economics letters
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
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1
Spurious regressions in technical trading
Shintani, Mototsugu
;
Tomoyoshi, Yabu
;
Nagakura, Daisuke
- In:
Journal of econometrics
169
(
2012
)
2
,
pp. 301-309
Persistent link: https://www.econbiz.de/10009673181
Saved in:
2
Nonparametric assessment of hedge fund performance
Almeida, Caio
;
Ardison, Kym
;
Garcia, René
- In:
Journal of econometrics
214
(
2020
)
2
,
pp. 349-378
Persistent link: https://www.econbiz.de/10012438396
Saved in:
3
Comparing forecasting performance in cross-sections
Qu, Ritong
;
Timmermann, Allan
;
Zhu, Yinchu
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-31
Persistent link: https://www.econbiz.de/10014471796
Saved in:
4
Out of sample forecasts of quadratic variation
Aït-Sahalia, Yacine
;
Mancini, Loriano
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 17-33
Persistent link: https://www.econbiz.de/10003783780
Saved in:
5
Realized volatility forecasting and option pricing
Bandi, Federico M.
;
Russell, Jeffrey R.
;
Yang, Chen
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 34-46
Persistent link: https://www.econbiz.de/10003783782
Saved in:
6
Estimating quadratic variation consistently in the presence of endogenous and diurnal measurement error
Kalnina, Ilze
;
Linton, Oliver
- In:
Journal of econometrics
147
(
2008
)
1
,
pp. 47-59
Persistent link: https://www.econbiz.de/10003783783
Saved in:
7
Testing for jumps when asset prices are observed with noise : a "swap variance" approach
Jiang, George J.
;
Oomen, Roel C.A.
- In:
Journal of econometrics
144
(
2008
)
2
,
pp. 352-370
Persistent link: https://www.econbiz.de/10003774646
Saved in:
8
Measuring volatility with the realized range
Martens, Martin
;
Dijk, Dick van
- In:
Journal of econometrics
138
(
2007
)
1
,
pp. 181-207
Persistent link: https://www.econbiz.de/10003451757
Saved in:
9
Realised quantile-based estimation of the integrated variance
Christensen, Kim
;
Oomen, Roel
;
Podolskij, Mark
- In:
Journal of econometrics
159
(
2010
)
1
,
pp. 74-98
Persistent link: https://www.econbiz.de/10008839938
Saved in:
10
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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