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Share price
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Gupta, Rangan
117
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71
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56
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43
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41
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28
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23
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22
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Ang, Andrew
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Hammoudeh, Shawkat
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21
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Unité Mixte de Recherche Théorie Economique, Modélisation et Applications
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Centre for Growth and Business Cycle Research <Manchester>
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Conference on Financial Stability <1993, Sydney>
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Eberhard Karls Universität Tübingen
1
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Federal Reserve Bank of San Francisco
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Federal Reserve System / Board of Governors
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Financial Options Research Centre
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Goethe-Universität Frankfurt am Main
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Finance research letters
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International review of financial analysis
173
NBER working paper series
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Energy economics
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International review of economics & finance : IREF
142
The North American journal of economics and finance : a journal of financial economics studies
135
Journal of banking & finance
134
Working paper / National Bureau of Economic Research, Inc.
133
Journal of empirical finance
125
Applied economics
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Research in international business and finance
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NBER Working Paper
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Applied economics letters
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Journal of financial economics
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Pacific-Basin finance journal
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Journal of econometrics
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Journal of risk and financial management : JRFM
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Applied financial economics
84
The journal of futures markets
84
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
73
Working paper
67
International Journal of Energy Economics and Policy : IJEEP
64
Journal of financial markets
63
Quantitative finance
62
The European journal of finance
62
Economics letters
60
The journal of finance : the journal of the American Finance Association
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The review of financial studies
58
Discussion paper / Centre for Economic Policy Research
57
Review of quantitative finance and accounting
57
CESifo working papers
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Finance India : the quarterly journal of Indian Institute of Finance
54
Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets
51
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
51
Research paper series / Swiss Finance Institute
50
Cogent economics & finance
48
Journal of financial and quantitative analysis : JFQA
48
International journal of finance & economics : IJFE
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ECONIS (ZBW)
12,107
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1
Realized regression with asynchronous and noisy high frequency and high dimensional data
Chen, Dachuan
;
Mykland, Per A.
;
Zhang, Lan
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-20
Persistent link: https://www.econbiz.de/10015074483
Saved in:
2
On the
correlation
structure of microstructure noise : a financial economic approach
Diebold, Francis X.
;
Strasser, Georg
- In:
The review of economic studies
80
(
2013
)
4
,
pp. 1304-1337
Persistent link: https://www.econbiz.de/10010202113
Saved in:
3
Efficient asymptotic variance reduction when estimating
volatility
in high frequency data
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
206
(
2018
)
1
,
pp. 103-142
Persistent link: https://www.econbiz.de/10012110370
Saved in:
4
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:
5
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:
6
Sluggish news reactions: a combinatorial approach for synchronizing stock
jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
Saved in:
7
Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
Clinet, Simon
;
Potiron, Yoann
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 289-337
Persistent link: https://www.econbiz.de/10012302598
Saved in:
8
Statistical properties of microstructure noise
Jacod, Jean
;
Li, Yingying
;
Zheng, Xinghua
- In:
Econometrica : journal of the Econometric Society, an …
85
(
2017
)
4
,
pp. 1133-1174
Persistent link: https://www.econbiz.de/10011791234
Saved in:
9
Inference for nonparametric high-frequency estimators with an application to time variation in betas
Kalnina, Ilze
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
2
,
pp. 538-549
Persistent link: https://www.econbiz.de/10014448338
Saved in:
10
Estimating the price impact of trades in a high-frequency microstructure model with
jumps
Jondeau, Eric
;
Lahaye, Jérôme
;
Rockinger, Michael
- In:
Journal of banking & finance
61
(
2015
)
2
,
pp. 205-224
Persistent link: https://www.econbiz.de/10011585573
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