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Noise trading
Volatility
383
high-frequency data
379
Volatilität
376
High-frequency data
346
Börsenkurs
248
Schätzung
246
Share price
237
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Noise Trading
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Finanzmarkt
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Financial market
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Market microstructure noise
54
Nichtparametrisches Verfahren
54
Ankündigungseffekt
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Nonparametric statistics
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50
jumps
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English
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Li, Yingying
6
Hounyo, Ulrich
5
Meddahi, Nour
5
Gonçalves, Sílvia
4
Liu, Zhi
4
Potiron, Yoann
4
Andersen, Torben
3
Clinet, Simon
3
Zheng, Xinghua
3
Aït-Sahalia, Yacine
2
Bollerslev, Tim
2
Cebiroglu, Gökhan
2
Christensen, Kimberly
2
Hautsch, Nikolaus
2
Hwang, Eunju
2
Kunitomo, Naoto
2
Li, Jia
2
Linton, Oliver
2
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2
Liu, Qiang
2
Podolskij, Mark
2
Shin, Dong-wan
2
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2
Yeh, Jin-huei
2
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2
Alemany, N.
1
Alemany, Nuria
1
Aragó Manzana, Vicent
1
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1
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1
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1
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1
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1
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1
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1
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Journal of econometrics
18
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
Econometric reviews
3
Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
2
Economics letters
2
Finance and stochastics
2
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1
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1
Pacific-Basin finance journal
1
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1
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1
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ECONIS (ZBW)
61
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1
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Hwang, Eunju
;
Shin, Dong-wan
- In:
Journal of econometrics
202
(
2018
)
2
,
pp. 178-195
Persistent link: https://www.econbiz.de/10011974560
Saved in:
2
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
Saved in:
3
Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading
Hounyo, Ulrich
- In:
Journal of econometrics
197
(
2017
)
1
,
pp. 130-152
Persistent link: https://www.econbiz.de/10011818349
Saved in:
4
A unified approach to volatility estimation in the presence of both rounding and random market microstructure noise
Li, Yingying
;
Zhang, Zhiyuan
;
Li, Yichu
- In:
Journal of econometrics
203
(
2018
)
2
,
pp. 187-222
Persistent link: https://www.econbiz.de/10011974656
Saved in:
5
Volatility estimation and forecasts based on price durations
Hong, Seok Young
;
Nolte, Ingmar
;
Taylor, Stephen
;
Zhao, …
- In:
Journal of financial econometrics
21
(
2023
)
1
,
pp. 106-144
Persistent link: https://www.econbiz.de/10013542852
Saved in:
6
Volatility measurement with pockets of extreme return persistence
Andersen, Torben
;
Li, Yingying
;
Todorov, Viktor
;
Zhou, Bo
- In:
Journal of econometrics
237
(
2023
)
2,3
,
pp. 1-27
Persistent link: https://www.econbiz.de/10014471793
Saved in:
7
Estimating the quadratic covariation matrix for an asynchronously observed continuous time signal masked by additive noise
Park, Sujin
;
Linton, Oliver
-
2012
Persistent link: https://www.econbiz.de/10009552168
Saved in:
8
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
Saved in:
9
A Lagrangian multiplier test for market microstructure noise with applications to sampling interval determination for realized volatilities
Shin, Dong-wan
;
Hwang, Eunju
- In:
Economics letters
129
(
2015
),
pp. 95-99
Persistent link: https://www.econbiz.de/10011422016
Saved in:
10
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia
- In:
Econometrica : journal of the Econometric Society, an …
81
(
2013
)
4
,
pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469
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