Market microstructure noise, integrated variance estimators, and the accuracy of asymptotic approximations

von Bandi, Federico M.
Veröffentlicht in Journal of econometrics (2010)

Forecasting transaction rates : the autoregressive conditional duration model

von Engle, Robert F.
Veröffentlicht 1994

Microstructure noise, realized variance, and optimal sampling

von Bandi, F. M.
Veröffentlicht in The review of economic studies (2008)

Forecasting transaction rates : the autoregressive conditional duration model

von Engle, Robert F.
Veröffentlicht 1994

Autoregressive conditional duration : a new model for irregularly spaced transaction data

von Engle, Robert F.
Veröffentlicht in Econometrica (1998)

Analysis of high-frequency data

von Russell, Jeffrey R.
Veröffentlicht in Handbook of financial econometrics ; Volume 1: Tools and techniques (2010)

Econometric analysis of discrete-valued irregulary-spaced financial transactions data using a new autoregressive conditional multinominal model

von Russell, Jeffrey R.
Veröffentlicht 1998

Separating microstructure noise from volatility

von Bandi, Federico M.
Veröffentlicht in Journal of financial economics (2006)

Volatility

von Bandi, Federico M.
Veröffentlicht in Financial engineering (2008)

Forecasting the frequency of changes in quoted foreign exchange prices with the autoregressive conditional duration model

von Engle, Robert F.
Veröffentlicht 1995

Autoregressive conditional duration : a new model for irregularly spaced time series data

von Engle, Robert F.
Veröffentlicht 1995

A discrete-state continuous-time model of financial transactions prices and times : the autoregressive conditional multinomial-autoregressive conditional duration model

von Russell, Jeffrey R.
Veröffentlicht in Journal of business & economic statistics (2005)

Using high-frequency data in dynamic portfolio choice

von Bandi, Federico M.
Veröffentlicht in Econometric reviews (2008)

Measuring and modeling execution cost and risk

von Engle, Robert F.
Veröffentlicht in The journal of portfolio management (2012)

Realized volatility forecasting and option pricing

von Bandi, Federico M.
Veröffentlicht in Journal of econometrics (2008)

True or spurious long memory? : a new test

von Ohanissian, Arek
Veröffentlicht in Journal of business & economic statistics (2008)

Realized volatility forecasting in the presence of time-varying noise

von Bandi, Federico M.
Veröffentlicht in Journal of business & economic statistics (2013)

Kurtosis of GARCH and stochastic volatility models with non-normal innovations

von Bai, Xuezheng
Veröffentlicht in Journal of econometrics (2003)

A nonlinear autoregressive conditional duration model with applications to financial transaction

von Zhang, Michael Yuanjie
Veröffentlicht in Journal of econometrics (2001)

Determinants of bid and ask quotes and implications for the cost of trading

von Zhang, Michael Yuanjie
Veröffentlicht in Journal of empirical finance (2008)