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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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Exchange traded funds (ETFs)
Ben-David, Itzhak; Franzoni, Francesco; Moussawi, Rabih - 2017
Over two decades, ETFs have become one of the most popular investment vehicle among retail and professional investors due to their low transaction costs and high liquidity, taking market share from traditional investment vehicles such as mutual funds and index futures. Research has shown that in...
Persistent link: https://www.econbiz.de/10011620013
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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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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