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~isPartOf:"CEA_372Cass working paper series"
~subject:"Volatility"
~type_genre:"Arbeitspapier"
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CEA_372Cass working paper series
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High-frequency cross-market trading : model free measurement and applications
Dobrev, Dobrislav
;
Schaumburg, Ernst
-
2017
-
This version: December 30, 2016
Persistent link: https://www.econbiz.de/10012805580
Saved in:
2
Using principal component analysis to estimate a highdimensional factor model with high-frequency data
Aït-Sahalia, Yacine
;
Xiu, Dacheng
-
2017
Persistent link: https://www.econbiz.de/10012806600
Saved in:
3
Asymmetric jump beta estimation with implications forportfolio risk management
Alexeev, Vitali
;
Urga, Giovanni
;
Yao, Wenying
-
2017
Persistent link: https://www.econbiz.de/10012806610
Saved in:
4
Trading price jump clusters in foreign exchange markets
Novotný, Jan
;
Petrov, Dmitri
;
Urga, Giovanni
-
2014
Persistent link: https://www.econbiz.de/10010440725
Saved in:
5
Price jump indicators : stock market empirics during the crisis
Novotný, Jan
;
Hanousek, Jan
;
Koèenda, Evžen
-
2013
Persistent link: https://www.econbiz.de/10010440891
Saved in:
6
Conditional correlation models of autoregressive conditional heteroskedasticity with nonstationary GARCH equations
Amado, Cristina
;
Teräsvirta, Timo
-
2013
Persistent link: https://www.econbiz.de/10010440898
Saved in:
7
Identifying jumps in financial assets : a comparison between nonparametric jump tests
Dumitru, Ana-Maria
;
Urga, Giovanni
-
2011
Persistent link: https://www.econbiz.de/10009381375
Saved in:
8
Finite sample results of range-based integrated volatility estimation
Rossi, Eduardo
;
Spazzini, Filippo
-
2009
Persistent link: https://www.econbiz.de/10003899120
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