Persistence in High Frequency Financial Data
Year of publication: |
2022
|
---|---|
Authors: | Caporale, Guglielmo Maria ; Plastun, Alex |
Publisher: |
[S.l.] : SSRN |
Subject: | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Volatilität | Volatility | Börsenkurs | Share price | Schätzung | Estimation |
Extent: | 1 Online-Ressource (17 p) |
---|---|
Series: | CESifo Working Paper ; No. 10045 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4266610 [DOI] |
Classification: | C22 - Time-Series Models ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Persistence in high frequency financial data
Caporale, Guglielmo Maria, (2022)
-
Baumann, Stuart, (2021)
-
Jump variation estimation with noisy high frequency financial data via wavelets
Zhang, Xin, (2016)
- More ...
-
Intraday Anomalies and Market Efficiency: A Trading Robot Analysis
Caporale, Guglielmo Maria, (2014)
-
Short-Term Price Overreactions: Identification, Testing, Exploitation
Caporale, Guglielmo Maria, (2014)
-
The Weekend Effect: A Trading Robot and Fractional Integration Analysis
Caporale, Guglielmo Maria, (2014)
- More ...