Search Results - subject:"High‐frequency data"

ECB monetary policy surprises : identification through cojumps in interest rates ; conference paper

Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - 2013 - Draft 27.06.2013

We propose a new monetary policy surprise measure based on cojumps in tick-data of a short and long term interest rate. We extend a recently proposed test for cojumps to distinguish policy announcements that shift the short and long end of the yield curve in the same direction (level shift) and...

Persistent link: https://www.econbiz.de/10010343631

Long memory and fractional integration in high frequency data on the US dollar British pound spot exchange rate

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2013

Persistent link: https://www.econbiz.de/10009731952

Testing for mutually exciting jumps and financial flights in high frequency data

Dungey, Mardi H.; Erdemlioglu, Deniz; Matei, Marius; … - In: Journal of econometrics 202 (2018) 1, pp. 18-44

Persistent link: https://www.econbiz.de/10011974551

Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity

Hwang, Eunju; Shin, Dong-wan - In: Journal of econometrics 202 (2018) 2, pp. 178-195

Persistent link: https://www.econbiz.de/10011974560

Testing for self-excitation in jumps

Boswijk, Herman Peter; Laeven, Roger J. A.; Yang, Xiye - In: Journal of econometrics 203 (2018) 2, pp. 256-266

Persistent link: https://www.econbiz.de/10011974668

Estimating the integrated volatility using high-frequency data with zero durations

Liu, Zhi; Kong, Xin-Bing; Jing, Bingyi - In: Journal of econometrics 204 (2018) 1, pp. 18-32

Persistent link: https://www.econbiz.de/10011974707

Modelling foreign exchange realized volatility using high frequency data : long memory versus structural breaks

Ben Maatoug, Abderrazak; Lamouchi, Rim; Davidson, Russell; … - In: Central European journal of economic modelling and … 10 (2018) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011918105

Does the information content of central bank speeches impact on the level of exchange rate? : a comparative study of Canadian and Australian central bank communications

Masawi, Becksndale; Bhattacharya, Sukanto; Boulter, Terry - In: Review of Pacific Basin financial markets and policies 21 (2018) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10011809736

On the gains of using high frequency data in portfolio selection

Brito, Rui Pedro; Sebastião, Helder Miguel Correia Virtuoso - In: Scientific Annals of Economics and Business 65 (2018) 4, pp. 365-383

Persistent link: https://www.econbiz.de/10012127814

Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370