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Rounding errors and volatility estimation
Li, Yingying; Mykland, Per A. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 478-504
Persistent link: https://www.econbiz.de/10011339292
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The price impact of order book events
Cont, Rama; Kukanov, Arseniy; Stoikov, Sasha - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 47-88
Persistent link: https://www.econbiz.de/10010233613
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Using high-frequency transaction data to estimate the probability of informed trading
Tay, Anthony S. A.; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 288-311
Persistent link: https://www.econbiz.de/10003884192
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Price discovery in fragmented markets
Jong, Frank de; Schotman, Peter C. - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10003997323
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Does the open limit order book matter in explaining informational volatility?
Pascual, Roberto; Veredas, David - In: Journal of financial econometrics : official journal of … 8 (2010) 1, pp. 57-87
Persistent link: https://www.econbiz.de/10003997330
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Integrated covariance estimation using high-frequency data in the presence of noise
Voev, Valeri; Lunde, Asger - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 68-104
Persistent link: https://www.econbiz.de/10003518286
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Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns
Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707
Persistent link: https://www.econbiz.de/10010512286
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Two-scale realized kernels : a univariate case
Ikeda, Shin S. - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
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A state space approach to estimating the integrated variance under the existence of market microstructure noise
Nagakura, Daisuke; Watanabe, Toshiaki - In: Journal of financial econometrics : official journal of … 13 (2015) 1, pp. 45-82
Persistent link: https://www.econbiz.de/10010519663
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Adaptive Realized Kernels
Carrasco, Marine; Kotchoni, Rachidi - In: Journal of financial econometrics : official journal of … 13 (2015) 4, pp. 757-797
Persistent link: https://www.econbiz.de/10011417704