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Search: subject:"High‐frequency data"
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Volatility
471
Volatilität
466
high-frequency data
393
High-frequency data
363
Zeitreihenanalyse
300
Time series analysis
288
Börsenkurs
283
Share price
272
Schätzung
262
Estimation
249
Theorie
222
Theory
207
high frequency data
164
High frequency data
154
Prognoseverfahren
151
Forecasting model
148
Market microstructure
141
Capital income
123
Kapitaleinkommen
123
Stochastischer Prozess
123
Marktmikrostruktur
122
Stochastic process
122
ARCH-Modell
120
ARCH model
119
Schätztheorie
115
Estimation theory
111
Finanzmarkt
88
Financial market
81
Ankündigungseffekt
74
Aktienmarkt
73
High-Frequency Data
72
Stock market
70
Announcement effect
67
Correlation
67
Korrelation
67
Varianzanalyse
57
Wechselkurs
56
Analysis of variance
55
Portfolio selection
55
Portfolio-Management
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35
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935
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6
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Bollerslev, Tim
45
Podolskij, Mark
36
Todorov, Viktor
35
Hautsch, Nikolaus
33
Andersen, Torben G.
20
Diebold, Francis X.
16
Li, Jia
15
Ranaldo, Angelo
15
Tauchen, George Eugene
15
Caporale, Guglielmo Maria
14
Hansen, Peter Reinhard
14
Hounyo, Ulrich
14
Lunde, Asger
14
Stübinger, Johannes
14
Bibinger, Markus
13
McAleer, Michael
13
Patton, Andrew J.
13
Christensen, Kim
11
Ehrmann, Michael
11
Martens, Martin
11
Tauchen, George
11
Yang, Xiye
11
Audrino, Francesco
10
Ben Omrane, Walid
10
Dijk, Dick van
10
Hirayama, Kenjiro
10
Vetter, Mathias
10
Voev, Valeri
10
Andersen, Torben
9
Dungey, Mardi H.
9
Endres, Sylvia
9
Erdemlioglu, Deniz
9
Li, Yingying
9
Meddahi, Nour
9
Nishimura, Yusaku
9
Oya, Kosuke
9
Tsutsui, Yoshiro
9
Winkelmann, Lars
9
van Dijk, Dick
9
Ghysels, Eric
8
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School of Economics and Management, University of Aarhus
49
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
12
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
11
Center for Financial Studies
10
HAL
10
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
9
Schweizerische Nationalbank (SNB)
9
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
9
C.E.P.R. Discussion Papers
8
Duke University, Department of Economics
8
Graduate School of Economics, Osaka University
8
School of Economics and Political Science, Universität St. Gallen
7
Department of Economics, Oxford University
6
European Central Bank
6
Université Paris-Dauphine (Paris IX)
6
Society for Computational Economics - SCE
5
Tinbergen Instituut
5
EconWPA
4
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
4
Tinbergen Institute
4
Banco de México
3
CESifo
3
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
3
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
3
Department of Economics, University of Pennsylvania
3
Dipartimento di Economia, Università Ca' Foscari Venezia
3
Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
3
Econometric Society
3
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
3
Institute of Economic Research, Hitotsubashi University
3
Bank for International Settlements (BIS)
2
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Department of Economics, European University Institute
2
Department of Economics, University of California-San Diego (UCSD)
2
Deutsche Bank Research
2
Deutsche Bundesbank
2
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
2
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
2
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Journal of econometrics
52
CREATES Research Papers
48
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Physica A: Statistical Mechanics and its Applications
17
Journal of financial econometrics
16
Economic modelling
15
Journal of international financial markets, institutions & money
15
Quantitative finance
15
Finance research letters
12
Journal of forecasting
12
MPRA Paper
12
CFS Working Paper Series
11
CIRANO Working Papers
11
Econometrics
11
Journal of Risk and Financial Management
11
Journal of empirical finance
11
SFB 649 Discussion Paper
11
Economics letters
10
International review of financial analysis
10
Journal of risk and financial management : JRFM
10
Applied economics letters
9
CORE Discussion Papers
9
Discussion paper / Tinbergen Institute
9
Econometrics : open access journal
9
International review of economics & finance : IREF
9
SFB 649 Discussion Papers
9
The North American journal of economics and finance : a journal of financial economics studies
9
Tinbergen Institute Discussion Papers
9
Working Paper
9
Working Papers / Schweizerische Nationalbank (SNB)
9
CEPR Discussion Papers
8
CFS Working Paper
8
Discussion Papers in Economics and Business
8
Energy economics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Research in international business and finance
8
Tinbergen Institute Discussion Paper
8
Working Papers / Duke University, Department of Economics
8
CESifo Working Paper
7
ECB Working Paper
7
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Source
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ECONIS (ZBW)
660
RePEc
456
EconStor
146
Other ZBW resources
8
BASE
6
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440
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431
A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns
Endres, Sylvia
;
Stübinger, Johannes
- In:
Quantitative finance
19
(
2019
)
10
,
pp. 1727-1740
Persistent link: https://www.econbiz.de/10012194819
Saved in:
432
Optimal trading strategies for Lévy-driven Ornstein-Uhlenbeck processes
Endres, Sylvia
;
Stübinger, Johannes
- In:
Applied economics
51
(
2019
)
29
,
pp. 3153-3169
Persistent link: https://www.econbiz.de/10012196804
Saved in:
433
Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid
;
Savaser, Tanseli
;
Welch, Robert L.
; …
- In:
The North American journal of economics and finance : a …
50
(
2019
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
Saved in:
434
Structured volatility matrix estimation for non-synchronized high-frequency financial data
Fan, Jianqing
;
Kim, Donggyu
- In:
Journal of econometrics
209
(
2019
)
1
,
pp. 61-78
Persistent link: https://www.econbiz.de/10012302521
Saved in:
435
Estimation of the discontinuous leverage effect : evidence from the NASDAQ order book
Bibinger, Markus
;
Neely, Christopher J.
;
Winkelmann, Lars
- In:
Journal of econometrics
209
(
2019
)
2
,
pp. 158-184
Persistent link: https://www.econbiz.de/10012302583
Saved in:
436
High-dimensional multivariate realized volatility estimation
Bollerslev, Tim
;
Meddahi, Nour
;
Nyawa, Serge
- In:
Journal of econometrics
212
(
2019
)
1
,
pp. 116-136
Persistent link: https://www.econbiz.de/10012303903
Saved in:
437
The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing
Christensen, Kim
;
Thyrsgaard, Martin
;
Veliyev, Bezirgen
- In:
Journal of econometrics
212
(
2019
)
2
,
pp. 556-583
Persistent link: https://www.econbiz.de/10012304092
Saved in:
438
China's crude oil futures : introduction and some stylized facts
Ji, Qiang
;
Zhang, Dayong
- In:
Finance research letters
28
(
2019
),
pp. 376-380
Persistent link: https://www.econbiz.de/10012388348
Saved in:
439
Asymptotic results for the Fourier estimator of the integrated quarticity
Livieri, Giulia
;
Mancino, Maria Elvira
;
Marmi, Stefano
- In:
Decisions in economics and finance : DEF ; a journal of …
42
(
2019
)
2
,
pp. 471-502
Persistent link: https://www.econbiz.de/10012127239
Saved in:
440
Central bank announcements and realized volatility of stock markets in G7 countries
Lyócsa, Štefan
;
Molnár, Peter
;
Plíhal, Tomáš
- In:
Journal of international financial markets, …
58
(
2019
),
pp. 117-135
Persistent link: https://www.econbiz.de/10012127844
Saved in:
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