Narrow search
Showing 51 - 60 of 154,614
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
The leverage effect puzzle : disentangling sources of bias at high frequency
Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249
Persistent link: https://www.econbiz.de/10009765821
Cover Image
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Cover Image
Quantifying volatility clustering in financial time series
Tseng, Jie-jun; Li, Sai-ping - In: International review of financial analysis 23 (2012), pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
Cover Image
Is there price discovery in equity options?
Muravyev, Dmitriy; Pearson, Neil D.; Broussard, John Paul - In: Journal of financial economics 107 (2013) 2, pp. 259-283
Persistent link: https://www.econbiz.de/10009719741
Cover Image
Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
Cover Image
Rock around the clock: an agent-based model of low- and high-frequency trading
Leal, Sandrine Jacob; Napoletano, Mauro; Roventini, Andrea - 2014
dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …
Persistent link: https://www.econbiz.de/10010243948
Cover Image
Common price and volatility jumps in noisy high-frequency data
Bibinger, Markus; Winkelmann, Lars - 2014
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process … volatility jumps, we design and analyze a nonparametric spectral estimator of the spot volatility process. A simulation study and … important role played by price volatility co-jumps. …
Persistent link: https://www.econbiz.de/10010384595
Cover Image
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
Cover Image
Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method
Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693
Persistent link: https://www.econbiz.de/10009793469