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~subject:"Marktmikrostruktur"
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Marktmikrostruktur
Theorie
69
Theory
68
Volatilität
61
Volatility
60
Estimation
29
Schätzung
29
Börsenkurs
28
Share price
28
Estimation theory
25
Schätztheorie
25
Stochastic process
25
Stochastischer Prozess
25
Time series analysis
21
Zeitreihenanalyse
21
Capital income
20
Kapitaleinkommen
20
Option pricing theory
19
Optionspreistheorie
19
Forecasting model
18
Prognoseverfahren
18
Market microstructure
17
Correlation
15
Korrelation
15
Liquidity
14
USA
14
United States
14
Nichtparametrisches Verfahren
13
Nonparametric statistics
13
Financial crisis
11
Finanzkrise
11
Statistische Verteilung
11
Liquidität
10
Risikoprämie
10
Statistical distribution
10
ARCH model
9
ARCH-Modell
9
Monte Carlo simulation
9
Monte-Carlo-Simulation
9
Risk premium
9
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Free
7
Undetermined
4
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Article
8
Book / Working Paper
8
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8
Aufsatz in Zeitschrift
8
Arbeitspapier
6
Graue Literatur
6
Non-commercial literature
6
Working Paper
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English
16
Author
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Corsi, Fulvio
10
Audrino, Francesco
7
Peluso, Stefano
5
Renò, Roberto
5
Barucci, Emilio
3
Impenna, Claudio
3
Buccheri, Giuseppe
2
Aielli, Gian Piero
1
Bormetti, Giacomo
1
Christensen, Kim
1
Lillo, Fabrizio
1
Mancini, Cecilia
1
Mattiussi, Vanessa
1
Mira, Antonietta
1
Oomen, Roel
1
Pirino, Davide
1
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Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics
3
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
CEIS Tor Vergata research papers : CEIS Tor Vergata research paper series
1
Finance and stochastics
1
Journal of applied econometrics
1
Journal of econometrics
1
Monetary integration, markets and regulations
1
Temi di discussione del Servizio Studi / Banca d'Italia
1
Working papers on finance
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ECONIS (ZBW)
16
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1
Funding liquidity and stocks' market liquidity : structural estimation from high-frequency data
Aielli, Gian Piero
;
Pirino, Davide
-
2023
Persistent link: https://www.econbiz.de/10014446493
Saved in:
2
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003903350
Saved in:
3
Realized correlation tick-by-tick
Corsi, Fulvio
;
Audrino, Francesco
-
2007
Persistent link: https://www.econbiz.de/10003419771
Saved in:
4
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
-
2008
Persistent link: https://www.econbiz.de/10003676667
Saved in:
5
A Bayesian high-frequency estimator of the multivariate covariance of noisy and asynchronous returns
Peluso, Stefano
;
Corsi, Fulvio
;
Mira, Antonietta
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
3
,
pp. 665-697
Persistent link: https://www.econbiz.de/10011339256
Saved in:
6
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
- In:
Journal of applied econometrics
30
(
2015
)
3
,
pp. 377-397
Persistent link: https://www.econbiz.de/10011327583
Saved in:
7
Missing in asynchronicity : a Kalman-EM approach for multivariate realized covariance estimation
Corsi, Fulvio
;
Peluso, Stefano
;
Audrino, Francesco
-
2012
Persistent link: https://www.econbiz.de/10009719912
Saved in:
8
Realized covariance tick-by-tick in presence of rounded time stamps and general microstructure effects
Corsi, Fulvio
;
Audrino, Francesco
- In:
Journal of financial econometrics : official journal of …
10
(
2012
)
4
,
pp. 591-616
Persistent link: https://www.econbiz.de/10009671897
Saved in:
9
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe
;
Bormetti, Giacomo
;
Corsi, Fulvio
; …
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
4
,
pp. 920-936
Persistent link: https://www.econbiz.de/10012653203
Saved in:
10
High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model
Buccheri, Giuseppe
;
Corsi, Fulvio
;
Peluso, Stefano
- In:
Journal of business & economic statistics : JBES ; a …
39
(
2021
)
3
,
pp. 605-621
Persistent link: https://www.econbiz.de/10012588002
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