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  • Search: subject:"High frequency data"
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Year of publication
Subject
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high-frequency data 285 Volatilität 160 Volatility 156 high frequency data 113 Börsenkurs 106 Zeitreihenanalyse 106 Schätzung 102 High-frequency data 101 Theorie 99 Share price 95 Time series analysis 94 Estimation 89 Theory 84 High-Frequency Data 58 Market microstructure 52 Prognoseverfahren 51 Forecasting model 48 High frequency data 48 Capital income 41 Kapitaleinkommen 41 Finanzmarkt 38 Marktmikrostruktur 38 realized volatility 38 Stochastischer Prozess 37 ARCH-Modell 36 Stochastic process 36 ARCH model 35 Ankündigungseffekt 34 High Frequency Data 34 jumps 34 Financial market 31 Monetary policy 30 Geldpolitik 29 stochastic volatility 28 Announcement effect 27 Schätztheorie 25 Coronavirus 24 Korrelation 24 USA 23 Wirkungsanalyse 23
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Online availability
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Free 684 CC license 35
Type of publication
All
Book / Working Paper 545 Article 139
Type of publication (narrower categories)
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Working Paper 256 Graue Literatur 152 Non-commercial literature 152 Arbeitspapier 145 Article in journal 86 Aufsatz in Zeitschrift 86 Article 33 Thesis 8 Hochschulschrift 3 Aufsatzsammlung 1 Collection of articles of several authors 1 Collection of articles written by one author 1 Conference Paper 1 Conference paper 1 Konferenzbeitrag 1 Konferenzschrift 1 Preprint 1 Sammelwerk 1 Sammlung 1
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Language
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English 507 Undetermined 162 German 4 Portuguese 4 French 3 Italian 2 Lithuanian 1 Spanish 1
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Author
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Bollerslev, Tim 29 Hautsch, Nikolaus 25 Podolskij, Mark 24 Todorov, Viktor 20 Andersen, Torben G. 17 Bibinger, Markus 12 Caporale, Guglielmo Maria 12 Diebold, Francis X. 12 Ranaldo, Angelo 11 Stübinger, Johannes 11 Hansen, Peter Reinhard 10 Ehrmann, Michael 9 Hounyo, Ulrich 9 Lunde, Asger 9 Tauchen, George 9 Vetter, Mathias 9 Christensen, Kim 8 Martens, Martin 8 Voev, Valeri 8 van Dijk, Dick 8 Dijk, Dick van 7 Ghysels, Eric 7 Hirayama, Kenjiro 7 McAleer, Michael 7 Meddahi, Nour 7 Patton, Andrew J. 7 Tsutsui, Yoshiro 7 Winkelmann, Lars 7 Xu, Yongdeng 7 Endres, Sylvia 6 Gil-Alana, Luis A. 6 Groß-Klußmann, Axel 6 Hess, Dieter 6 Jansen, David-Jan 6 Jirak, Moritz 6 Malec, Peter 6 Malinska, Barbora 6 Medeiros, Marcelo C. 6 Mumtaz, Haroon 6 Pelizzon, Loriana 6
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Institution
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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 Duke University, Department of Economics 8 Graduate School of Economics, Osaka University 7 European Central Bank 6 Tinbergen Instituut 5 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, Oxford University 3 Dipartimento di Economia, Università Ca' Foscari Venezia 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 Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze 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 Erasmus University Rotterdam, Econometric Institute 2 Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia 2 Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska 2 Institut für Volkswirtschaftslehre, Christian-Albrechts-Universität Kiel 2 Institute of Economic Research, Kyoto University 2 Nationalekonomiska institutionen, Stockholms Universitet 2
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Published in...
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CREATES Research Papers 48 MPRA Paper 12 CFS Working Paper Series 11 CIRANO Working Papers 11 Journal of Risk and Financial Management 11 SFB 649 Discussion Paper 11 Econometrics 10 Journal of risk and financial management : JRFM 10 CORE Discussion Papers 9 SFB 649 Discussion Papers 9 Tinbergen Institute Discussion Papers 9 Working Paper 9 Working Papers / Schweizerische Nationalbank (SNB) 9 CFS Working Paper 8 Discussion paper / Tinbergen Institute 8 Econometrics : open access journal 8 Tinbergen Institute Discussion Paper 8 Working Papers / Duke University, Department of Economics 8 CESifo Working Paper 7 Discussion Papers in Economics and Business 7 ECB Working Paper 7 Working Paper Series / European Central Bank 6 Working paper 6 CESifo working papers 5 Discussion paper 5 Econometric Institute research papers 5 Post-Print / HAL 5 Working Papers / HAL 5 Economics Bulletin 4 FAU Discussion Papers in Economics 4 FAU discussion papers in economics 4 IMF working papers 4 Journal of forecasting 4 Quantitative economics : QE ; journal of the Econometric Society 4 Research paper series / Swiss Finance Institute 4 SFB 649 discussion paper 4 ZEW Discussion Papers 4 Business Economics Working Papers 3 CAMA working paper series 3 CESifo Working Paper Series 3
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Source
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RePEc 287 ECONIS (ZBW) 245 EconStor 146 BASE 6
Showing 1 - 10 of 684
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Forecasting beta using ultra high frequency data
Zhou, Jian - In: Journal of forecasting 44 (2025) 2, pp. 485-496
Persistent link: https://www.econbiz.de/10015374057
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Identifying the underlying components of high-frequency data : pure vs jump diffusion processes
Hizmeri, Rodrigo; Izzeldin, Marwan; Urga, Giovanni - 2025
Persistent link: https://www.econbiz.de/10015191535
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Central bank information effects in Japan : the role of uncertainty channel
Morita, Hiroshi; Matsumoto, Ryo; Ono, Taiki - In: Empirical economics : a quarterly journal of the … 68 (2025) 2, pp. 855-877
Persistent link: https://www.econbiz.de/10015193879
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2025
Persistent link: https://www.econbiz.de/10015372760
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Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon; Lunde, Asger - 2025
Persistent link: https://www.econbiz.de/10015372704
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Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information
Buyun, Xu; Wu, Zhimin - 2025
Persistent link: https://www.econbiz.de/10015372603
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Managing cryptocurrency risk exposures in equity portfolios : evidence from high-frequency data
Leong, Minhao; Alexeev, Vitali; Kwok, Simon Sai Man - In: Journal of international financial markets, … 99 (2025), pp. 1-20
Persistent link: https://www.econbiz.de/10015405747
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The price of processing : information frictions and market efficiency in DeFi
Azar, Pablo; Olivas, Sergio; Sinha, Nish D. - 2025
This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...
Persistent link: https://www.econbiz.de/10015396109
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Fed-driven systemic tail risk : high-frequency measurement, evidence and implications
Erdemlioglu, Deniz; Neely, Christopher J.; Yang, Xiye - 2025
Persistent link: https://www.econbiz.de/10014320683
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Konjunkturbeobachtung mithilfe innovativer Veröffentlichungsformate: das Dashboard Deutschland und der Pulsmesser für die Wirtschaft
Stern, Markus; Gerhard, Marcel; Czerniak, Frederik - In: WISTA – Wirtschaft und Statistik 76 (2024) 1, pp. 15-24
Mit dem Dashboard Deutschland hat das Statistische Bundesamt im Dezember 2020 sein Repertoire an Veröffentlichungsformaten um ein innovatives Datenportal ausgeweitet. Insbesondere politischen Entscheidungsträgerinnen und -trägern soll es eine faktenbasierte Einschätzung der aktuellen...
Persistent link: https://www.econbiz.de/10014485035
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