Search Results - subject:"Intraday data"

Intraday volatility smile : effects of fragmentation and high frequency trading on price efficiency

Ligot, Stephanie; Gillet, Roland; Veryzhenko, Iryna - In: Journal of international financial markets, … 75 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012820849

Did the introduction of Bitcoin futures crash the Bitcoin market at the end of 2017?

Hattori, Takahiro; Ishida, Ryo - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-8

Persistent link: https://www.econbiz.de/10012821885

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 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/10012584099

Do higher-order realized moments matter for cryptocurrency returns?

Ahmed, Walid M. A.; Al Mafrachi, Mustafa - In: International review of economics & finance : IREF 72 (2021), pp. 483-499

Persistent link: https://www.econbiz.de/10012671985

Are oil and gas futures markets efficient? : a multifractal analysis

Ftiti, Zied; Jawadi, Fredj; Louhichi, Wael; Madani, … - In: Applied economics 53 (2021) 2, pp. 164-184

Persistent link: https://www.econbiz.de/10012416030

Bayesian estimation for high-frequency volatility models in a time deformed framework

Santos, Antonio A. F. - In: Computational economics 57 (2021) 2, pp. 455-479

Persistent link: https://www.econbiz.de/10012486920

Cumulation, crash, coherency : a cryptocurrency bubble wavelet analysis

Fruehwirt, Wolfgang; Hochfilzer, Leonhard; Weydemann, … - In: Finance research letters 40 (2021), pp. 1-13

Persistent link: https://www.econbiz.de/10012818919

Japanese monetary policy and its impact on stock market implied volatility during pleasant and unpleasant weather

Finta, Marinela Adriana - In: Pacific-Basin finance journal 67 (2021), pp. 1-17

Persistent link: https://www.econbiz.de/10013258115

Crude oil and stock markets in the COVID-19 crisis : evidence from oil exporters and importers

Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 223-229

Persistent link: https://www.econbiz.de/10013258469

Realized volatility of CO2 futures

Benschop, Thijs; López Cabrera, Brenda - 2017

accurate measure for volatility, since it is based on intraday data. Besides the stylized facts commonly observed in financial …, in-sample and out-of-sample forecasting. The analysis is based on intraday data (May 2007-April 2012) for futures on CO2 …

Persistent link: https://www.econbiz.de/10011963631