Search Results - subject:"Intra-day data"

The use of high-frequency data in cryptocurrency research : a meta-review of literature with bibliometric analysis

Anas, Muhammad; Shahzad, Syed Jawad Hussain; Yarovaya, … - In: Financial innovation : FIN 10 (2024), pp. 1-31

As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrency literature that employs high-frequency data. We highlighted the most influential...

Persistent link: https://www.econbiz.de/10015372543

Long versus short time scales : the rough dilemma and beyond

Garcin, Matthieu; Grasselli, Martino - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 257-278

Persistent link: https://www.econbiz.de/10013380566

On the stationarity of futures hedge ratios

Degiannakis, Stavros; Floros, Christos; Salvador, Enrique; … - In: Operational research : an international journal 22 (2022) 3, pp. 2281-2303

Persistent link: https://www.econbiz.de/10013443633

Forecasting oil prices : high-frequency financial data are indeed useful

Degiannakis, Stavros; Filis, George - In: Energy economics 76 (2018), pp. 388-402

Persistent link: https://www.econbiz.de/10011976685

Multiple days ahead realized volatility forecasting : single, combined and average forecasts

Degiannakis, Stavros - In: Global finance journal 36 (2018), pp. 41-61

Persistent link: https://www.econbiz.de/10012125013

Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data

Degiannakis, Stavros; Potamia, Artemis - In: International review of financial analysis 49 (2017), pp. 176-190

Persistent link: https://www.econbiz.de/10011741290

The one-trading-day-ahead forecast errors of intra-day realized volatility

Degiannakis, Stavros - In: Research in international business and finance 42 (2017), pp. 1298-1314

Persistent link: https://www.econbiz.de/10011761003

Intra-day realized volatility for European and USA Stock indices

Degiannakis, Stavros; Floros, Christos - In: Global finance journal 29 (2016), pp. 24-41

Persistent link: https://www.econbiz.de/10011714562

Foreign News and Spillovers in Emerging European Stock Markets

Kocenda, Evzen; Hanousek, Jan - William Davidson Institute, University of Michigan - 2010

We analyze foreign news and spillovers in the emerging EU stock markets (the Czech Republic, Hungary, and Poland). We employ high-frequency five-minute intraday data on stock market index returns and four classes of EU and U.S. macroeconomic announcements during 2004–2007. We account for the...

Persistent link: https://www.econbiz.de/10008606463

Effect of Intraday Information Flow on the Emerging European Stock Markets

Hanousek, Jan; Kočenda, Evžen - In: Politická ekonomie 2010 (2010) 4, pp. 435-457

We analyze effect of intraday information flow in three emerging EU stock markets-the Czech Republic, Hungary, and Poland. We use five-minute intraday data on stock market index returns and 15 types of EU and U.S. macroeconomic announcements during 2004-2007. We measure each announcement as its...

Persistent link: https://www.econbiz.de/10008564638