Search Results - subject:"Intraday Data"

Universal features of price formation in financial markets : perspectives from deep learning

Sirignano, Justin; Cont, Rama - In: Quantitative finance 19 (2019) 9, pp. 1449-1459

Persistent link: https://www.econbiz.de/10012194797

Do illiquid stocks jump more frequently?

Kunsteller, Sebastian; Müller, Janis; Posch, Peter N. - In: Applied economics 51 (2019) 25, pp. 2764-2769

Persistent link: https://www.econbiz.de/10012196740

Black swan events in China's stock markets : intraday price behaviors on days of volatility

Lin, Wen-Yuan; Tsai, I-Chun - In: International review of economics & finance : IREF 59 (2019), pp. 395-411

Persistent link: https://www.econbiz.de/10012202930

Informed trading in the WTI oil futures market

Rousse, Olivier; Sévi, Benoît - In: The energy journal 40 (2019) 2, pp. 139-159

Persistent link: https://www.econbiz.de/10012037434

The testing of causal stock returns-trading volume dependencies with the aid of copulas

Gurgul, Henryk; Mestel, Roland; Syrek, Robert - In: Managerial Economics 13 (2013), pp. 21-44

This paper is concerned with a dependence analysis of returns, return volatility and trading volume for five companies listed on the Vienna Stock Exchange. Taking into account the high frequency data for these companies, tests based on a comparison of Bernstein copula densities using the...

Persistent link: https://www.econbiz.de/10010721932

Variance risk premiums in foreign exchange markets

Ammann, Manuel; Buesser, Ralf - 2013

intraday data with low frequency. As a likely consequence of microstructure effects however, the evidence is ambiguous when …

Persistent link: https://www.econbiz.de/10010410031

Price discovery in euro area sovereign credit markets and the ban on naked CDS

Gyntelberg, Jacob; Hördahl, Peter; Ters, Kristyna; … - In: Journal of banking & finance 96 (2018), pp. 106-125

Persistent link: https://www.econbiz.de/10011967185

Is intraday data useful for forecasting VaR? : the evidence from EUR/PLN exchange rate

Będowska-Sójka, Barbara - In: Risk management : a journal of risk, crisis and disaster 20 (2018) 4, pp. 326-346

Persistent link: https://www.econbiz.de/10011962183

Monetary policy uncertainty and the market reaction to macroeconomic news

Kurov, Alexander; Stan, Raluca - In: Journal of banking & finance 86 (2018), pp. 127-142

Persistent link: https://www.econbiz.de/10011962434

Intraday effect of news on emerging European forex markets : an event study analysis

Kočenda, Evžen; Moravcová, Michala - In: Economic systems 42 (2018) 4, pp. 597-615

Persistent link: https://www.econbiz.de/10012257289