Search Results - subject:"Intraday data"

The role of uncertainty and sentiment for intraday volatility connectedness between oil and financial markets

Szafranek, Karol; Rubaszek, Michał; Uddin, Mohammed … - In: Energy economics 137 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015181817

Have the causal effects between equities, oil prices, and monetary policy changed over time?

Kurov, Alexander; Olson, Eric; Halova Wolfe, Marketa - In: Journal of commodity markets : JCM 36 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015162629

Explanatory power of realised moments

Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Afro-Asian Journal of Finance and Accounting : AAJFA 14 (2024) 1, pp. 22-42

Persistent link: https://www.econbiz.de/10014490919

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in Transition New Series 22 (2021) 4, pp. 41-58

of the Warsaw Stock Exchange. Based on intraday data from 2004-2019 we study the changes in significance and in the …

Persistent link: https://www.econbiz.de/10013444106

Does trading volume drive systemic banks' stock return volatility? Lessons from the Greek banking system

Tsagkanos, Athanasios; Gillas, Konstantinos Gkillas; … - In: International Journal of Financial Studies 9 (2021) 2, pp. 1-13

banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … (banking) analysts, policy makers and practitioners concerned with intraday data and volatility modeling. …

Persistent link: https://www.econbiz.de/10013200349

Large dynamic covariance matrices: Enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021

Multivariate GARCH models do not perform well in large dimensions due to the so-called curse of dimensionality. The recent DCC-NL model of Engle et al. (2019) is able to overcome this curse via nonlinear shrinkage estimation of the unconditional correlation matrix. In this paper, we show how...

Persistent link: https://www.econbiz.de/10012588495

The impact of US macroeconomic news on the prices of single stocks on the Vienna stock exchange

Gurgul, Henryk; Mitterer, Christoph; Wójtowicz, Tomasz - In: Central European journal of economic modelling and … 13 (2021) 3, pp. 287-329

Persistent link: https://www.econbiz.de/10012620005

Higher realized moments and stock return predictability

Rehman, Seema; Sharif, Saqib; Ullah, Wali - In: Romanian journal of economic forecasting 24 (2021) 1, pp. 48-70

Persistent link: https://www.econbiz.de/10012587115

Does trading volume drive systemic banks' stock return volatility? : lessons from the Greek banking system

Tsagkanos, Athanasios; Gillas, Konstantinos Gkillas; … - In: International Journal of Financial Studies : open … 9 (2021) 2, pp. 1-13

Persistent link: https://www.econbiz.de/10012509058

Changes in the impact of US macroeconomic news on financial markets the example of the Warsaw Stock Exchange

Gurgul, Henryk; Hastenteufel, Jessica; Wójtowicz, Tomasz - In: Statistics in transition : an international journal of … 22 (2021) 4, pp. 41-58

of the Warsaw Stock Exchange. Based on intraday data from 2004-2019 we study the changes in significance and in the …

Persistent link: https://www.econbiz.de/10012818165