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Humboldt-Universität zu Berlin
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin
SFB 649 Discussion Papers, Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin
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Humboldt-Universität zu Berlin
Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin
SFB 649 Discussion Papers, Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin
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Results 1-10 of 13.
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Year of Publication
Title
Author(s)
2014
Improved volatility estimation based on limit order books
Bibinger, Markus
;
Jirak, Moritz
;
Reiss, Markus
2013
Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
Bibinger, Markus
;
Mykland, Per A.
2013
Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
;
Reiss, Markus
2015
Nonparametric change-point analysis of volatility
Bibinger, Markus
;
Jirak, Moritz
;
Vetter, Mathias
2013
Estimating the quadratic covariation of an asynchronously observed semimartingale with jumps
Bibinger, Markus
;
Vetter, Mathias
2013
Econometrics of co-jumps in high-frequency data with noise
Bibinger, Markus
;
Winkelmann, Lars
2011
Asymptotics of asynchronicity
Bibinger, Markus
2014
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
;
Reiss, Markus
2014
Functional stable limit theorems for efficient spectral covolatility estimators
Altmeyer, Randolf
;
Bibinger, Markus
2013
ECB monetary policy surprises: Identification through cojumps in interest rates
Winkelmann, Lars
;
Bibinger, Markus
;
Linzert, Tobias
Author
3
Reiss, Markus
3
Winkelmann, Lars
2
Hautsch, Nikolaus
2
Jirak, Moritz
2
Malec, Peter
2
Vetter, Mathias
1
Altmeyer, Randolf
1
Linzert, Tobias
1
Mykland, Per A.
1
Reiß, Markus
.
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