Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 3 of 3 for “"Market Microstructure Noise"”.
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Price jumps and volatility in U.S. agricultural futures markets
Agricultural commodity futures markets have changed with the arrival of electronic trading. Electronic trading platforms have facilitated the emergence of automated systems in these markets which are now experiencing a race among traders to gain speed in implementing transactions. This new trading …
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Point process based high frequency volatility estimation : theory and applications
… chapter studies the relative importance of market microstructure (MMS) variables on high-frequency volatility estimation. The third chapter proposes a Markov-switching model for high-frequency volatility estimation and provides intraday measures of information contents in the trading process …
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Realized copulae in moderate dimensions
Copulae sind ein hilfreiches Werkzeug um die Abhängigkeitsstrukturen zwischen Risikofaktoren in Wirtschaft und Finanzwesen zu modellieren und zu quantifizieren. Dank technologischen Entwicklungen der letzten Jahrzehnte, können hoch-frequentierte Daten mit innertäglichen Beobachtungen genutzt werden …