Concepedia

Efficient Price Estimation

Efficient Price Estimation is a methodological framework in high-frequency data analysis that identifies the optimal aggregation of intraday price observations to minimize estimation error while accounting for market microstructure noise and non-synchronous trading effects.

89

Publications

10.6K

Citations

160

Authors

126

Institutions

Publications per year

2017–2026

11

Parents

Publications

89

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

, , +17

Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

Ole E. Barndorff–Nielsen, Peter Reinhard Hansen, Asger Lunde et al. · Econometrica · 2008 · 1.3K citations

, , +17

Realized Variance and Market Microstructure Noise

Peter Reinhard Hansen, Asger Lunde · Journal of Business and Economic Statistics · 2006 · 1.2K citations

, , +17

Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement

Joel Hasbrouck · Review of Financial Studies · 1993 · 536 citations

, , +15

Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Trinity's Access to Research Output (TARA) (Trinity College Dublin) · 2013 · 521 citations

, , +14

1–5 of 89

Authors

160

  1. JH
    Joel Hasbrouck

    New York University, United States

    8 publications · 3K citations

    8

    h-index

  2. PR
    Peter Reinhard Hansen

    Aarhus University, Denmark

    6 publications · 3.1K citations

    6

    h-index

  3. AL
    Asger Lunde

    Aarhus University, Denmark

    6 publications · 3.1K citations

    6

    h-index

  4. NS
    Neil Shephard

    University of Oxford, United Kingdom

    5 publications · 1.8K citations

    5

    h-index

  5. OE
    Ole E. Barndorff–Nielsen

    Aarhus University, Denmark

    4 publications · 1.6K citations

    4

    h-index

1–5 of 160

Institutions

126

  1. New York University

    New York, United States

    8 h-index

    8 publications

    1.1K citations

  2. Aarhus University

    Aarhus, Denmark

    6 h-index

    12 publications

    4K citations

  3. Stanford University

    Stanford, United States

    4 h-index

    4 publications

    2.6K citations

  4. University of Oxford

    Oxford, United Kingdom

    3 h-index

    3 publications

    1.4K citations

  5. Copenhagen Business School

    Copenhagen, Denmark

    3 h-index

    3 publications

    624 citations

  6. University of North Carolina at Chapel Hill

    Chapel Hill, United States

    3 h-index

    3 publications

    624 citations

  7. Yale University

    New Haven, United States

    2 h-index

    2 publications

    26 citations

  8. American Library Association

    Chicago, United States

    2 h-index

    2 publications

    1.9K citations

1–8 of 126

Venues

  1. SSRN Electronic Journal

    Repository · 9 publications · 755 citations

    9

    h-index

  2. The Journal of Finance

    7 publications · 2.3K citations

    7

    h-index

  3. 4

    h-index

  4. Finance research letters

    3 publications · 183 citations

    3

    h-index

  5. Applied Economics Letters

    3 publications · 118 citations

    3

    h-index

1–5