Search Results - subject:"Intraday data"

Intraday Liquidity Patterns in Indian Stock Market

Krishnan, R.; Mishra, Vinod - Department of Econometrics and Business Statistics, … - 2012

year intraday data from India's National Stock Exchange (NSE). Using the data on 20 stocks from NSE's NIFTY Index, we found …

Persistent link: https://www.econbiz.de/10010580333

Intraday price discovery in Indian stock index futures market : new evidence from neural network approach

Kumar, Saurabh; Inani, Sarveshwar Kumar - In: International journal of financial markets and derivatives 6 (2017) 1, pp. 12-29

Persistent link: https://www.econbiz.de/10011862350

Do carbon traders behave as a herd?

Palao, Fernando; Pardo, Ángel - In: The North American journal of economics and finance : a … 41 (2017), pp. 204-216

Persistent link: https://www.econbiz.de/10011878958

How jumps affect liquidity? : the evidence from Poland

Bedowska-Sojka, Barbara - In: Finance a úvěr 67 (2017) 1, pp. 39-52

Persistent link: https://www.econbiz.de/10011720687

When no news is good news : the decrease in investor fear after the FOMC announcement

Fernandez-Perez, Adrian; Frijns, Bart; Tourani Rad, Alireza - In: Journal of empirical finance 41 (2017), pp. 187-199

Persistent link: https://www.econbiz.de/10011746972

Modelling the relationship between future energy intraday volatility and trading volume with wavelet

Ftiti, Zied; Jawadi, Fredj; Louhichi, Waël - In: Applied economics 49 (2017) 20, pp. 1981-1993

Persistent link: https://www.econbiz.de/10011817029

Grexit news and stock returns

Haupenthal, Andreas; Neuenkirch, Matthias - In: Applied economics 49 (2017) 39, pp. 3891-3898

Persistent link: https://www.econbiz.de/10011819958

Volatility Transmission in Emerging European Foreign Exchange Markets

Kocenda, Evzen; Bubak, Vit; Zikes, Filip - William Davidson Institute, University of Michigan - 2011

/USD foreign exchange using model-free estimates of daily exchange rate volatility based on intraday data. We formulate a flexible …

Persistent link: https://www.econbiz.de/10010545910

TESTING THE HYPOTHESIS OF MARTINGALE ON INTRADAY DATA: THE CASE OF BET INDEX

Todea, Alexandru; Pleşoianu, Anita - In: Theoretical and Applied Economics 5(558)(supplement) (2011) 5(558)(supplement), pp. 344-351

The hypothesis of martingale on Romanian capital market is tested based on the intraday data of the BET index for the … nonlinear dependencies in the intraday data, indicating the existence of a high potential of predictability. …

Persistent link: https://www.econbiz.de/10009291671

Are realized volatility models good candidates for alternative Value at Risk prediction strategies?

Louzis, Dimitrios P.; Xanthopoulos-Sisinis, Spyros; … - Volkswirtschaftliche Fakultät, … - 2011

In this paper, we assess the Value at Risk (VaR) prediction accuracy and efficiency of six ARCH-type models, six realized volatility models and two GARCH models augmented with realized volatility regressors. The α-th quantile of the innovation’s distribution is estimated with the fully...

Persistent link: https://www.econbiz.de/10009001164