Search Results - subject:"Financial econometrics"

The impact of COVID-19 on the volatility of copper futures

Melo-Vega-Angeles, Oscar; Chuquillanqui-Lichardo, Bryan - In: Economies : open access journal 11 (2023) 7, pp. 1-15

The COVID-19 pandemic has introduced significant uncertainty across various economic sectors, most notably in the industrial sector due to the high volatility in copper futures markets. These markets play a crucial role in the construction, electrical networks, electronic products, and...

Persistent link: https://www.econbiz.de/10014322991

New methods for testing, prediction, and estimation with applications to finance

Hediger, Simon - 2023

Persistent link: https://www.econbiz.de/10014282051

The impact of COVID-19 on the volatility of copper futures

Melo-Vega-Angeles, Oscar; Chuquillanqui-Lichardo, Bryan - In: Economies 11 (2023) 7, pp. 1-15

Persistent link: https://www.econbiz.de/10015469767

Empirical finance

Hamori, Shigeyuki - In: Journal of risk and financial management : JRFM 13 (2020) 1/6, pp. 1-3

The research field related to finance has made great progress in recent years due to the development of information processing technology and the availability of large-scale data. This special issue is a collection of 16 articles on empirical finance and one book review. The content is six...

Persistent link: https://www.econbiz.de/10012173272

Lectures on the theory and application of modern finance with R and ChatGPT

Favero, Carlo A.; Tebaldi, Claudio - 2025

"These lecture notes are thought for Master courses in Finance, Fintech and Quantitative Finance programmes. We fully subscribe to the philosophy that post-graduate students should be offered courses that are really at the cutting edge of the technologies and advances that are disrupting the...

Persistent link: https://www.econbiz.de/10015376943

Infill asymptotic theory and applications in financial econometrics

Lui, Yiu Lim - In: Financial econometrics : theory and applications, (pp. 132-158). 2025

Persistent link: https://www.econbiz.de/10015426488

Economic magnitudes within reason

Liu, Zack; Winegar, Adam - In: Journal of corporate finance 91 (2025), pp. 1-19

Persistent link: https://www.econbiz.de/10015440885

Financial econometrics : theory and applications

Shi, Shuping (ed.); Wang, Xiaohu (ed.); Zeng, Tao (ed.) - 2025

Financial Econometrics is a contribution to modern financial econometrics, overviewing both theory and application. It … various topics in high-frequency financial econometrics with continuous time models and discretized data. Also included are …. Exploring topics at the forefront of research in the field of financial econometrics, this book offers an accessible …

Persistent link: https://www.econbiz.de/10015357486

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and applies it to high-frequency data of the S&P 500 constituents from January 1998-December 2015. In particular, the established stock selection and trading framework identifies...

Persistent link: https://www.econbiz.de/10012022240

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013290620