Narrow search
Showing 31 - 40 of 112,749
Cover Image
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
Cover Image
Inference from high-frequency data : a subsampling approach
Christensen, Kimberly; Podolskij, Mark; Thamrongrat, Nopporn - In: Journal of econometrics 197 (2017) 2, pp. 245-272
Persistent link: https://www.econbiz.de/10011818358
Cover Image
Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
Cover Image
Occupation density estimation for noisy high-frequency data
Zhang, Congshan; Li, Jia; Bollerslev, Tim - In: Journal of econometrics 227 (2022) 1, pp. 189-211
Persistent link: https://www.econbiz.de/10013441646
Cover Image
Noisy high frequency data-based estimation of volatility function with applications
Lin, Jinguan; Ye, Xuguo; Zhao, Yanyong; Hao, Hongxia - In: The Singapore economic review 68 (2023) 6, pp. 2127-2150
Persistent link: https://www.econbiz.de/10014500398
Cover Image
Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
Cover Image
On the estimation of integrated volatility in the presence of jumps and microstructure noise
Brownlees, Christian; Nualart, Eulalia; Sun, Yucheng - In: Econometric reviews 39 (2020) 10, pp. 991-1013
Persistent link: https://www.econbiz.de/10012406198
Cover Image
Evidence of microstructure variables' nonlinear dynamics from noised high-frequency data
Andreev, Nikolay; Lapshin, Victor - In: Financial econometrics and empirical market microstructure, (pp. 13-23). 2015
Persistent link: https://www.econbiz.de/10011326759
Cover Image
Statistical properties of covariance estimator of microstructure noise : dependence, rare jumps and endogeneity
Ubukata, Masato; Oya, Kosuke - In: Recent advances in financial engineering : proceedings …, (pp. 201-218). 2009
Persistent link: https://www.econbiz.de/10003871191
Cover Image
A score-driven conditional correlation model for noisy and asynchronous data : an application to high-frequency covariance dynamics
Buccheri, Giuseppe; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 920-936
Persistent link: https://www.econbiz.de/10012653203