Keywords: سر و صدا ریزساختار بازار; G12; C22; C14; High-frequency data; Rounding errors; Market microstructure noise; Integrated volatility; Realized volatility;
مقالات ISI سر و صدا ریزساختار بازار (ترجمه نشده)
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Keywords: سر و صدا ریزساختار بازار; C01; C02; C13; C14; C22; C58; High frequency data; Jumps; Market microstructure noise; Integrated volatility; Quasi-maximum likelihood estimator; Realized kernels; Stochastic sampling times;
Keywords: سر و صدا ریزساختار بازار; C3; C5; E4; Realized volatility measures; Spot rate models; Market microstructure noise; Jump; Nonparametric specification tests;
Keywords: سر و صدا ریزساختار بازار; C15; C22; C58; High-frequency data; Market microstructure noise; Non-synchronous data; Jumps; Realized measures; Integrated covariance; Wild bootstrap; Block bootstrap;
Keywords: سر و صدا ریزساختار بازار; C14; C13; D40; High frequency data; Integrated volatility; Market microstructure noise; Realized volatility; Efficiency;
Keywords: سر و صدا ریزساختار بازار; Quadratic covariation; Market microstructure noise; Asynchronous observations; Fourier Realized Kernel;
Keywords: سر و صدا ریزساختار بازار; C22; Lagrangian multiplier test; Market microstructure noise; Realized volatility;
Keywords: سر و صدا ریزساختار بازار; C41; G12; High-frequency transaction data; Market microstructure noise; Asymmetric autoregressive conditional duration model; Intraday Value-at-Risk; Backtesting;
Keywords: سر و صدا ریزساختار بازار; C58; C13; C14; Spot volatility; Market microstructure noise; Subsampling; Scale selection; Bandwidth selection;
Keywords: سر و صدا ریزساختار بازار; 60F05; 60G44; 62M09; Itô process; Realized volatility; Integrated volatility; Time endogeneity; Market microstructure noise;
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Keywords: سر و صدا ریزساختار بازار; C22; Market microstructure noise; Non-synchronous trading; Realized covariations; Two-time scale estimator; Stationary bootstrap; High frequency data;
Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading
Keywords: سر و صدا ریزساختار بازار; C01; C14; C58; D53; D81; EM algorithm; Kalman filter; Market microstructure noise; Asynchronous data; Factor model; Portfolio allocation; Quasi-likelihood; Semimartingale;
Limit theorems for the pre-averaged Hayashi–Yoshida estimator with random sampling
Keywords: سر و صدا ریزساختار بازار; Hayashi–Yoshida estimator; Integrated covariance; Market microstructure noise; Nonsynchronous observations; Pre-averaging; Stable convergence; Strong predictability
Forecasting volatility with the realized range in the presence of noise and non-trading
Keywords: سر و صدا ریزساختار بازار; C58; C53; G17Realized variance; Realized range; Two time scales; High frequency data; Market microstructure noise; Forecasting
The leverage effect puzzle: Disentangling sources of bias at high frequency
Keywords: سر و صدا ریزساختار بازار; G12; C22; C14High frequency data; Leverage effect; Market microstructure noise; Latent volatility; Correlation
Testing for jumps in noisy high frequency data
Keywords: سر و صدا ریزساختار بازار; C22; Semimartingale; Testing for jumps; High frequency data; Market microstructure noise; Pre-averaging;
Realized volatility forecasting and market microstructure noise
Keywords: سر و صدا ریزساختار بازار; C14; C22; C52; G14; Volatility forecasting; High-frequency data; Market microstructure noise; Integrated volatility; Realized volatility; Robust volatility measures; Eigenfunction stochastic volatility models;
Nonparametric model validations for hidden Markov models with applications in financial econometrics
Keywords: سر و صدا ریزساختار بازار; C12; C14; C22; Confidence envelope; Diffusion model; Hidden Markov model; Market microstructure noise; Model validation; Nonlinear time series; Transition density; Stochastic volatility;
Volatility and covariation of financial assets: A high-frequency analysis
Keywords: سر و صدا ریزساختار بازار; G12; G14; C22; Volatility estimation; High-frequency data; Market microstructure noise; Covariation of assets; Kalman filter;
Subsampling high frequency data
Keywords: سر و صدا ریزساختار بازار; C12; C13; C14; Subsampling; Market microstructure noise; High frequency data; Realised volatility;
Quasi-maximum likelihood estimation of volatility with high frequency data
Keywords: سر و صدا ریزساختار بازار; C13; C22; C51; Integrated volatility; Market microstructure noise; Quasi-maximum likelihood estimator; Realized kernels; Stochastic volatility;
Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Keywords: سر و صدا ریزساختار بازار; C10; C22; C80; Central limit theorem; Diffusion models; High-frequency data; Market microstructure noise; Non-synchronous trading; Pre-averaging; Realised covariance;
Realised quantile-based estimation of the integrated variance
Keywords: سر و صدا ریزساختار بازار; C10; C80; Finite activity jumps; Market microstructure noise; Order statistics; Outliers; Realised variance;
Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Keywords: سر و صدا ریزساختار بازار; C22; F31; G12Realized volatility; Integrated volatility; Critical sampling frequency; Market microstructure noise; Government bond markets; Foreign exchange markets; Liquidity; Kernel estimator; Robust estimator; Jumps
Out of sample forecasts of quadratic variation
Keywords: سر و صدا ریزساختار بازار; C14; C22; C53; Market microstructure noise; High frequency data; Measurement error; Realized volatility; Two scales realized volatility; Out of sample forecasts;
Testing for jumps when asset prices are observed with noise-a “swap variance” approach
Keywords: سر و صدا ریزساختار بازار; C14; C22; G12; Swap variance; Jumps; Bi-power variation; Market microstructure noise;
Measuring volatility with the realized range
Keywords: سر و صدا ریزساختار بازار; C14; C15; C53; Realized volatility; High-low range; High-frequency data; Market microstructure noise; Bias-correction;