Class information for:
Level 1: HIGH FREQUENCY DATA//REALIZED VOLATILITY//MICROSTRUCTURE NOISE

Basic class information
Class id #P Avg. number of
references		 Database coverage
of references
7014 1416 32.5 54%


Bar chart of Publication_year

Last years might be incomplete

Hierarchy of classes
The table includes all classes above and classes immediately below the current class.


Cluster id Level Cluster label #P
1 4 ECONOMICS//EDUCATION & EDUCATIONAL RESEARCH//PSYCHOL 3876184
67 3       ECONOMICS//BUSINESS, FINANCE//ECON 84262
144 2             BUSINESS, FINANCE//JOURNAL OF FUTURES MARKETS//ECONOMICS 23368
7014 1                   HIGH FREQUENCY DATA//REALIZED VOLATILITY//MICROSTRUCTURE NOISE 1416

Terms with highest relevance score


rank Term termType Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 HIGH FREQUENCY DATA authKW 2037560 13% 50% 188
2 REALIZED VOLATILITY authKW 2002750 11% 60% 156
3 MICROSTRUCTURE NOISE authKW 929419 4% 86% 50
4 MARKET MICROSTRUCTURE NOISE authKW 929034 3% 96% 45
5 INTEGRATED VOLATILITY authKW 762716 3% 91% 39
6 REALIZED VARIANCE authKW 699594 3% 66% 49
7 BIPOWER VARIATION authKW 401394 2% 85% 22
8 DISCRETE TIME OBSERVATIONS authKW 385037 2% 71% 25
9 DISCRETE OBSERVATIONS authKW 380496 2% 59% 30
10 VOLATILITY FORECASTING authKW 377975 3% 37% 47

Web of Science journal categories


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 Statistics & Probability 60231 50% 0% 709
2 Social Sciences, Mathematical Methods 41629 21% 1% 301
3 Business, Finance 20671 18% 0% 256
4 Economics 20200 41% 0% 577
5 Mathematics, Interdisciplinary Applications 10203 19% 0% 276
6 Management 171 3% 0% 40
7 Computer Science, Interdisciplinary Applications 154 3% 0% 49
8 Mathematics, Applied 97 5% 0% 66
9 Mathematical & Computational Biology 50 1% 0% 20
10 Mathematics 35 4% 0% 54

Address terms


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 CREATES 117687 2% 18% 31
2 TN THIELE MATH NAT SCI 110893 0% 86% 6
3 ADV FINANCIAL STUDIES 107814 0% 100% 5
4 FINANCIAL ENGN UNIT 64689 0% 100% 3
5 SIM KEE BOON FINANCIAL ECON 28365 0% 26% 5
6 BENDHEIM FINANCE 27702 1% 11% 12
7 OXFORD MAN 26448 1% 14% 9
8 MATH PHYS STOCHAST 22995 0% 27% 4
9 AUSTRALIAN BUSINESS BANKING FINANCE 21563 0% 100% 1
10 CLUSTER COMPUTAT SCI 21563 0% 100% 1

Journals


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class
1 JOURNAL OF FINANCIAL ECONOMETRICS 203021 3% 21% 45
2 JOURNAL OF ECONOMETRICS 91322 9% 3% 123
3 BERNOULLI 45861 4% 4% 50
4 STOCHASTIC PROCESSES AND THEIR APPLICATIONS 31095 5% 2% 70
5 SCANDINAVIAN JOURNAL OF STATISTICS 22278 3% 3% 38
6 JOURNAL OF EMPIRICAL FINANCE 16215 1% 4% 21
7 QUANTITATIVE FINANCE 16028 2% 2% 31
8 ANNALS OF STATISTICS 15355 4% 1% 53
9 JOURNAL OF BUSINESS & ECONOMIC STATISTICS 11224 2% 2% 27
10 ECONOMETRIC REVIEWS 11008 1% 4% 14

Author Key Words


Rank Term Chi square Shr. of publ. in
class containing
term		 Class's shr. of
term's tot. occurrences		 #P with
term in
class		 LCSH search Wikipedia search
1 HIGH FREQUENCY DATA 2037560 13% 50% 188 Search HIGH+FREQUENCY+DATA Search HIGH+FREQUENCY+DATA
2 REALIZED VOLATILITY 2002750 11% 60% 156 Search REALIZED+VOLATILITY Search REALIZED+VOLATILITY
3 MICROSTRUCTURE NOISE 929419 4% 86% 50 Search MICROSTRUCTURE+NOISE Search MICROSTRUCTURE+NOISE
4 MARKET MICROSTRUCTURE NOISE 929034 3% 96% 45 Search MARKET+MICROSTRUCTURE+NOISE Search MARKET+MICROSTRUCTURE+NOISE
5 INTEGRATED VOLATILITY 762716 3% 91% 39 Search INTEGRATED+VOLATILITY Search INTEGRATED+VOLATILITY
6 REALIZED VARIANCE 699594 3% 66% 49 Search REALIZED+VARIANCE Search REALIZED+VARIANCE
7 BIPOWER VARIATION 401394 2% 85% 22 Search BIPOWER+VARIATION Search BIPOWER+VARIATION
8 DISCRETE TIME OBSERVATIONS 385037 2% 71% 25 Search DISCRETE+TIME+OBSERVATIONS Search DISCRETE+TIME+OBSERVATIONS
9 DISCRETE OBSERVATIONS 380496 2% 59% 30 Search DISCRETE+OBSERVATIONS Search DISCRETE+OBSERVATIONS
10 VOLATILITY FORECASTING 377975 3% 37% 47 Search VOLATILITY+FORECASTING Search VOLATILITY+FORECASTING

Core articles
The table includes core articles in the class. The following variables is taken into account for the relevance score of an article in a cluster c:
(1) Number of references referring to publications in the class.
(2) Share of total number of active references referring to publications in the class.
(3) Age of the article. New articles get higher score than old articles.
(4) Citation rate, normalized to year.


Rank Reference # ref.
in cl.		 Shr. of ref. in
cl.		 Citations
1 HOUNYO, U , (2017) BOOTSTRAPPING INTEGRATED COVARIANCE MATRIX ESTIMATORS IN NOISY JUMP-DIFFUSION MODELS WITH NON-SYNCHRONOUS TRADING.JOURNAL OF ECONOMETRICS. VOL. 197. ISSUE 1. P. 130 -152 42 88% 0
2 KOIKE, Y , (2016) QUADRATIC COVARIATION ESTIMATION OF AN IRREGULARLY OBSERVED SEMIMARTINGALE WITH JUMPS AND NOISE.BERNOULLI. VOL. 22. ISSUE 3. P. 1894 -1936 37 93% 1
3 KOIKE, Y , (2016) ESTIMATION OF INTEGRATED COVARIANCES IN THE SIMULTANEOUS PRESENCE OF NONSYNCHRONICITY, MICROSTRUCTURE NOISE AND JUMPS.ECONOMETRIC THEORY. VOL. 32. ISSUE 3. P. 533 -611 37 90% 1
4 LIU, LY , PATTON, AJ , SHEPPARD, K , (2015) DOES ANYTHING BEAT 5-MINUTE RV? A COMPARISON OF REALIZED MEASURES ACROSS MULTIPLE ASSET CLASSES.JOURNAL OF ECONOMETRICS. VOL. 187. ISSUE 1. P. 293 -311 40 80% 4
5 MANCINI, C , MATTIUSSI, V , RENO, R , (2015) SPOT VOLATILITY ESTIMATION USING DELTA SEQUENCES.FINANCE AND STOCHASTICS. VOL. 19. ISSUE 2. P. 261 -293 34 94% 1
6 CHRISTENSEN, K , PODOLSKIJ, M , (2012) ASYMPTOTIC THEORY OF RANGE-BASED MULTIPOWER VARIATION.JOURNAL OF FINANCIAL ECONOMETRICS. VOL. 10. ISSUE 3. P. 417 -456 41 80% 3
7 MYKLAND, PA , ZHANG, L , (2016) BETWEEN DATA CLEANING AND INFERENCE: PRE-AVERAGING AND ROBUST ESTIMATORS OF THE EFFICIENT PRICE.JOURNAL OF ECONOMETRICS. VOL. 194. ISSUE 2. P. 242 -262 39 76% 0
8 BIBINGER, M , WINKELMANN, L , (2015) ECONOMETRICS OF CO-JUMPS IN HIGH-FREQUENCY DATA WITH NOISE.JOURNAL OF ECONOMETRICS. VOL. 184. ISSUE 2. P. 361 -378 30 97% 2
9 BOLLERSLEV, T , PATTON, AJ , QUAEDVLIEG, R , (2016) EXPLOITING THE ERRORS: A SIMPLE APPROACH FOR IMPROVED VOLATILITY FORECASTING.JOURNAL OF ECONOMETRICS. VOL. 192. ISSUE 1. P. 1 -18 28 80% 3
10 BARNDORFF-NIELSEN, OE , HANSEN, PR , LUNDE, A , SHEPHARD, N , (2011) MULTIVARIATE REALISED KERNELS: CONSISTENT POSITIVE SEMI-DEFINITE ESTIMATORS OF THE COVARIATION OF EQUITY PRICES WITH NOISE AND NON-SYNCHRONOUS TRADING.JOURNAL OF ECONOMETRICS. VOL. 162. ISSUE 2. P. 149 -169 29 83% 66

Classes with closest relation at Level 1


Rank Class id link
1 1852 GARCH//GARCH MODELS//VALUE AT RISK
2 1907 OPTION PRICING//IMPLIED VOLATILITY//STOCHASTIC VOLATILITY
3 32553 HAWKES PROCESS//SELF EXCITING PROCESS//DYNAMIC CONTAGION PROCESS
4 37524 CASE BASED DECISION THEORY//EMPIRICAL SIMILARITY//CASE BASED DECISIONS
5 4711 TERM STRUCTURE//TERM STRUCTURE OF INTEREST RATES//EXPECTATIONS HYPOTHESIS
6 32302 DISCRETE TIME REPRESENTATION//MIXED SAMPLING FREQUENCIES//NEW KEYNESIAN MACROECONOMETRICS
7 11163 WHITE NOISE MODEL//ADAPTIVE ESTIMATION//MINIMAX RISK
8 5121 LONG MEMORY//FRACTIONAL INTEGRATION//LONG RANGE DEPENDENCE
9 21423 LOCAL ASYMPTOTIC MIXED NORMALITY//ESTIMATING FUNCTION//BROWNIAN FLOWS
10 6109 FRACTIONAL BROWNIAN MOTION//ROUGH PATHS//MALLIAVIN CALCULUS

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