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A State Space Approach to Esti...
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Share price
Exchange rate
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Caporale, Guglielmo Maria
20
Hsing, Yu
16
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10
Fratzscher, Marcel
9
Pierdzioch, Christian
8
Entorf, Horst
7
Menkhoff, Lukas
7
Rieth, Malte
7
Bahmani-Oskooee, Mohsen
6
Goldberg, Linda S.
6
Grisse, Christian
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Hunter, John
6
Narayan, Paresh Kumar
6
Neely, Christopher J.
6
Pittis, Nikitas
6
Rey, Hélène
6
Rigobón, Roberto
6
Sheikh, Umaid A.
6
Aggarwal, Raj
5
Aizenman, Joshua
5
Bartov, Eli
5
Binici, Mahir
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Farsio, Farzad
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Hatemi-J, Abdulnasser
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Itō, Takatoshi
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Molnár, Peter
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Sarno, Lucio
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Schneider, Daniel
5
Svensson, Lars E. O.
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Tabash, Mosab I.
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Ali, Faek Menla
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Bhanja, Niyati
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Journal of international money and finance
17
International Journal of Energy Economics and Policy : IJEEP
16
Working paper / National Bureau of Economic Research, Inc.
16
International review of economics & finance : IREF
15
International journal of economics and financial issues : IJEFI
13
Journal of international financial markets, institutions & money
13
NBER working paper series
13
Applied economics
12
International journal of finance & economics : IJFE
12
The North American journal of economics and finance : a journal of financial economics studies
12
Economic modelling
11
Journal of banking & finance
11
Cogent economics & finance
10
CESifo working papers
9
Finance research letters
9
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
9
Applied financial economics
8
International review of financial analysis
8
Research in international business and finance
8
The European journal of finance
8
The empirical economics letters : a monthly international journal of economics
8
Global finance journal
7
Journal of Asian finance, economics and business : JAFEB
7
Journal of multinational financial management
7
NBER Working Paper
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Discussion paper / Centre for Economic Policy Research
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Finance India : the quarterly journal of Indian Institute of Finance
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Global business review
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International journal of economics and finance
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East Asian economic review
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Emerging markets review
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Journal of economics & business
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ECONIS (ZBW)
1,184
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1
On estimating market microstructure noise variance
Dong, Yingjie
;
Tse, Yiu Kuen
- In:
Economics letters
150
(
2017
),
pp. 59-62
Persistent link: https://www.econbiz.de/10011762850
Saved in:
2
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane
;
Uctum, Remzi
- In:
Economic modelling
54
(
2016
),
pp. 218-234
Persistent link: https://www.econbiz.de/10011642112
Saved in:
3
The influence of intraday seasonality on volatility transmission pattern
Alemany, N.
;
Aragó Manzana, Vicent
;
Salvador, E.
- In:
Quantitative finance
19
(
2019
)
7
,
pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
Saved in:
4
Jumps in equilibrium prices and asymmetric news in foreign exchange markets
El Ouadghiri, Imane
;
Uctum, Remzi
-
2015
Persistent link: https://www.econbiz.de/10011736615
Saved in:
5
Housewives of Tokyo versus the gnomes of Zurich : measuring price discovery in sequential markets
Wang, Jian-xin
;
Yang, Minxian
- In:
Journal of financial markets
14
(
2011
)
1
,
pp. 82-108
Persistent link: https://www.econbiz.de/10009267110
Saved in:
6
Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus
;
Teis, Stefan
;
Yu, Weijun
-
2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010442584
Saved in:
7
Statistical causes for the Epps effect in microstructure noise
Münnix, Michael C.
;
Schäfer, Rudi
;
Guhr, Thomas
- In:
International journal of theoretical and applied finance
14
(
2011
)
8
,
pp. 1231-1246
Persistent link: https://www.econbiz.de/10009541998
Saved in:
8
Oil prices, exchange rates and asset prices
Fratzscher, Marcel
;
Schneider, Daniel
;
Van Robays, Ine
-
2013
asset prices, and it exploits the heteroskedasticity for the
identification
of causality in a multifactor model. It finds a …
Persistent link: https://www.econbiz.de/10009748353
Saved in:
9
Quantile regression for long memory testing : a case of realized volatility
Hassler, Uwe
;
Rodrigues, Paulo M. M.
;
Rubia, Antonio
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
4
,
pp. 693-724
Persistent link: https://www.econbiz.de/10011623824
Saved in:
10
The VIX, the variance premium, and expected returns
Osterrieder, Daniela
;
Ventosa-Santaulària, Daniel
; …
- In:
Journal of financial econometrics
17
(
2019
)
4
,
pp. 517-558
Persistent link: https://www.econbiz.de/10012149836
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