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Noise traders incarnate : describing a realistic noise trading process
Peress, Joël; Schmidt, Daniel - 2017
Persistent link: https://www.econbiz.de/10011817832
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Empirical price modeling for sponsored search
Ganchev, Kuzman; Kulesza, Alex; Tan, Jinsong; Gabbard, Ryan - In: Internet and network economics : third international …, (pp. 541-548). 2007
Persistent link: https://www.econbiz.de/10003651052
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Designing realized Kernels to measure the ex post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - In: Econometrica : journal of the Econometric Society, an … 76 (2008) 6, pp. 1481-1536
Persistent link: https://www.econbiz.de/10003797079
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Bayesian learning in financial markets : price adjustments, fundamentals, and risk
Müller, Christoph - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003866148
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Do asset prices reflect fudamentals? : freshly squeezed evidence from the OJ market
Boudoukh, Jacob; Richardson, Matthew; Shen, YuQing; … - In: Journal of financial economics 83 (2007) 2, pp. 397-412
Persistent link: https://www.econbiz.de/10003425461
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008663394
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008697981
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Noise trading and stock market volatility
Verma, Rahul; Verma, Priti - In: Journal of multinational financial management 17 (2007) 3, pp. 231-243
Persistent link: https://www.econbiz.de/10003499630
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Stock returns and noise trading : domestic and international evidence
Verma, Rahul - 2004
Persistent link: https://www.econbiz.de/10003550254
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
Persistent link: https://www.econbiz.de/10008651782