Concepedia

Noise-corrected Estimation

Noise-Corrected Estimation is a statistical methodology in high-frequency data analysis that belongs to the class of estimation techniques designed for financial time series, distinguished by its explicit adjustment for microstructure noise to yield consistent and efficient estimates of latent price dynamics.

224

Publications

20.5K

Citations

440

Authors

317

Institutions

Publications per year

2017–2026

34

Parents

Publications

224

Practical selection of SVM parameters and noise estimation for SVM regression

Vladimir Cherkassky, Yunqian Ma · Neural Networks · 2003 · 2K citations

, , +17

A Tale of Two Time Scales

Lan Zhang, Per A. Mykland, Yacine Aı̈t-Sahalia · Journal of the American Statistical Association · 2005 · 1.3K citations

, , +15

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

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

Yacine Aı̈t-Sahalia, Per A. Mykland, Lan Zhang · Review of Financial Studies · 2005 · 923 citations

, , +16

1–5 of 224

Authors

440

  1. PR
    Peter Reinhard Hansen

    Aarhus University, Denmark

    11 publications · 3.4K citations

    11

    h-index

  2. AL
    Asger Lunde

    Aarhus University, Denmark

    11 publications · 3.4K citations

    10

    h-index

  3. YA
    Yacine Aı̈t-Sahalia

    Princeton University, United States

    9 publications · 3.1K citations

    9

    h-index

  4. PA
    Per A. Mykland

    University of Chicago, United States

    7 publications · 2.8K citations

    7

    h-index

  5. NS
    Neil Shephard

    University of Oxford, United Kingdom

    6 publications · 1.9K citations

    6

    h-index

1–5 of 440

Institutions

317

  1. Aarhus University

    Aarhus, Denmark

    12 h-index

    23 publications

    4.4K citations

  2. University of Chicago

    Chicago, United States

    10 h-index

    12 publications

    1.7K citations

  3. Princeton University

    Princeton, United States

    9 h-index

    10 publications

    1.6K citations

  4. National Bureau of Economic Research

    Cambridge, United States

    8 h-index

    9 publications

    315 citations

  5. Stanford University

    Stanford, United States

    7 h-index

    7 publications

    2.8K citations

  6. Federal Reserve

    Washington D.C., United States

    6 h-index

    7 publications

    882 citations

  7. Copenhagen Business School

    Copenhagen, Denmark

    6 h-index

    6 publications

    779 citations

  8. Centre National de la Recherche Scientifique

    Paris, France

    6 h-index

    10 publications

    441 citations

1–8 of 317

Venues

  1. SSRN Electronic Journal

    Repository · 25 publications · 1.8K citations

    20

    h-index

  2. Journal of Econometrics

    12 publications · 799 citations

    12

    h-index

  3. Journal of Business and Economic Statistics

    JBES · 5 publications · 1.5K citations

    5

    h-index

  4. Signal Processing

    4 publications · 106 citations

    4

    h-index

  5. Journal of the American Statistical Association

    4 publications · 1.8K citations

    4

    h-index

1–5