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- bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity 2018-07-17 Paper A dynamic Markov regime-switching...10 bytes (17 words) - 01:36, 10 December 2023
- related integral representations 2024-02-02 Paper Power laws in market microstructure 2023-06-26 Paper On Pricing Rules and Optimal Strategies in General...10 bytes (16 words) - 20:59, 9 December 2023
- Publication Date of Publication Type Real-time market microstructure analysis: online transaction cost analysis 2015-04-08 Paper Sub-sampling and parametric...10 bytes (16 words) - 12:29, 28 January 2024
- heavy-tailed market microstructure models with scale mixtures of normal distributions 2022-02-04 Paper Bayesian analysis of heavy-tailed market microstructure...10 bytes (16 words) - 08:19, 7 October 2023
- heavy-tailed market microstructure model and its application in stock markets 2021-02-19 Paper Modeling financial time series based on a market microstructure...10 bytes (16 words) - 20:38, 24 September 2023
- 2018-06-26 Paper Time-varying leverage effects 2017-05-12 Paper Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic...10 bytes (18 words) - 02:35, 10 December 2023
- price: a genetic programming approach 2019-01-14 Paper On estimating market microstructure noise variance 2018-09-11 Paper Intraday value-at-risk: an asymmetric...10 bytes (18 words) - 16:10, 11 December 2023
- high-frequency data under parametric market microstructure noise 2021-07-28 Paper Testing if the market microstructure noise is fully explained by the informational...10 bytes (16 words) - 06:35, 7 October 2023
- RELATIONSHIPS: RESEARCH IN HONOR OF MELVIN J. HINICH 2013-08-22 Paper A market microstructure explanation of IPOs underpricing 2013-01-29 Paper https://portal...10 bytes (18 words) - 17:07, 11 December 2023
- Bias-correcting the realized range-based variance in the presence of market microstructure noise 2010-04-22 Paper Sensitivity to initial conditions in self-organized...10 bytes (16 words) - 22:11, 10 December 2023
- high-frequency data under parametric market microstructure noise 2021-07-28 Paper Testing if the market microstructure noise is fully explained by the informational...10 bytes (16 words) - 18:41, 24 September 2023
- Covariance measurement in the presence of non-synchronous trading and market microstructure noise 2016-08-10 Paper Realised quantile-based estimation of the...10 bytes (20 words) - 23:13, 10 December 2023
- 2019-08-27 Paper BOOTSTRAPPING PRE-AVERAGED REALIZED VOLATILITY UNDER MARKET MICROSTRUCTURE NOISE 2017-09-15 Paper Bootstrapping realized multivariate volatility...10 bytes (16 words) - 17:23, 6 October 2023
- nonsynchronously observed diffusion processes in the presence of market microstructure noise 2018-05-18 Paper Local asymptotic mixed normality property...10 bytes (16 words) - 14:15, 12 December 2023
- Publication Date of Publication Type Jumps in equilibrium prices and market microstructure noise 2017-05-12 Paper...10 bytes (18 words) - 09:25, 7 October 2023
- Publication Date of Publication Type Learning multi-market microstructure from order book data 2019-09-26 Paper...10 bytes (16 words) - 22:28, 27 December 2023
- Publication Date of Publication Type Real-time market microstructure analysis: online transaction cost analysis 2015-04-08 Paper...10 bytes (16 words) - 22:27, 27 December 2023
- Publication Type A fast and efficient Markov chain Monte Carlo method for market microstructure model 2021-11-12 Paper...10 bytes (16 words) - 14:29, 24 September 2023
- Publication Type A fast and efficient Markov chain Monte Carlo method for market microstructure model 2021-11-12 Paper...10 bytes (16 words) - 14:29, 24 September 2023
- Publication Type A fast and efficient Markov chain Monte Carlo method for market microstructure model 2021-11-12 Paper...10 bytes (16 words) - 14:29, 24 September 2023
