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  • Search: subject:"High-frequency econometrics"
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Year of publication
Subject
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Skellam distribution 2 foreign exchange market 2 futures markets 2 high frequency econometrics 2 high-frequency econometrics 2 information efficiency 2 low latency data 2 negative binomial 2 Devisenmarkt 1 EGARCH-M 1 Econometrics 1 Economics of information 1 Efficient market hypothesis 1 Effizienzmarkthypothese 1 Foreign exchange market 1 Futures markets 1 HAR models 1 High frequency econometrics 1 High-frequency econometrics 1 Informational efficiency 1 Informationseffizienz 1 Informationsökonomik 1 Low latency data 1 Negative binomial 1 Skellam 1 Theorie 1 Theory 1 Time-varying volatility asymmetry 1 Variance risk premium 1 Volatility 1 Volatility components 1 Volatilität 1 tempered stable 1 Ökonometrie 1
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Online availability
All
Free 6 CC license 1
Type of publication
All
Book / Working Paper 4 Article 2
Type of publication (narrower categories)
All
Article 1 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 5 Undetermined 1
Author
All
Barndorff-Nielsen, Ole E. 3 Pollard, David G. 3 Shephard, Neil 3 Mahmoodzadeh, Soheil 2 Tseng, Michael 2 Ceylan, Ozcan 1
Institution
All
Department of Economics, Oxford University 1 Economics Group, Nuffield College, University of Oxford 1 Galatasaray Üniversitesi İktisadi Araştırmalar Merkezi (GİAM), Galatasaray Üniversitesi 1 School of Economics and Management, University of Aarhus 1
Published in...
All
CREATES Research Papers 1 Economics Papers / Economics Group, Nuffield College, University of Oxford 1 Economics Series Working Papers / Department of Economics, Oxford University 1 GIAM Working Papers 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1
Source
All
RePEc 4 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 6 of 6
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Information jumps, liquidity jumps, and market efficiency
Tseng, Michael; Mahmoodzadeh, Soheil - In: Journal of Risk and Financial Management 15 (2022) 3, pp. 1-21
We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.
Persistent link: https://www.econbiz.de/10013201400
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Cover Image
Information jumps, liquidity jumps, and market efficiency
Tseng, Michael; Mahmoodzadeh, Soheil - In: Journal of risk and financial management : JRFM 15 (2022) 3, pp. 1-21
We formulate a measure of information efficiency in a general, no-arbitrage semimartingale model of the price process. The market quality measure is applied to a high-frequency dataset from the interdealer FX market to identify changes in market efficiency after a decimalization of tick size.
Persistent link: https://www.econbiz.de/10013161552
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Time-Varying Volatility Asymmetry: A Conditioned HAR-RV(CJ) EGARCH-M Model
Ceylan, Ozcan - Galatasaray Üniversitesi İktisadi Araştırmalar … - 2012
Based on the recent developments in the high-frequency econometrics and asymmetric GARCH modeling literature, I develop …
Persistent link: https://www.econbiz.de/10010840309
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Discrete-valued Levy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil - Economics Group, Nuffield College, University of Oxford - 2010
price processes for high frequency econometrics. An important case of this is a Skellam process, which is the difference of …
Persistent link: https://www.econbiz.de/10008643682
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Integer-valued Lévy processes and low latency financial econometrics
Barndorff-Nielsen, Ole E.; Pollard, David G.; Shephard, Neil - School of Economics and Management, University of Aarhus - 2010
the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two …
Persistent link: https://www.econbiz.de/10008677231
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Discrete-valued Levy processes and low latency financial econometrics
Shephard, Neil; Pollard, David G.; Barndorff-Nielsen, Ole E. - Department of Economics, Oxford University - 2010
price processes for high frequency econometrics.  An important case of this is a Skellam process, which is the difference of …
Persistent link: https://www.econbiz.de/10008462339
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