Search Results - subject:"Sampling frequency"

On the dynamic effects of the cross-section distribution of sectoral price changes in China

Gu, Biao; Fu, Liying; Yu, Kehuan - In: International studies of economics 18 (2023) 4, pp. 468-501

Forecast Error Variance Decompositions from Mixed Sampling Frequency Vector Autoregression (MFVAR) with those from common …

Persistent link: https://www.econbiz.de/10014465997

Realized density estimation using intraday prices

Arnerić, Josip - In: Croatian review of economic, business and social … 6 (2020) 1, pp. 1-9

with respect to the bandwidth selection as well as the sampling frequency selection. The main finding is that the kernel … bandwidth is strongly related to the sampling frequency at the slow-time-time scale when applying a two-scale estimator, while … the fast-time-time scale sampling frequency is held fixed. The realized kernel density estimation enriches the literature …

Persistent link: https://www.econbiz.de/10012264979

High-frequency jump tests : which test should we use?

Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2020 - (Revised working paper 17/18)

Persistent link: https://www.econbiz.de/10012606872

Challenges of integrated variance estimation in emerging stock markets

Arnerić, Josip; Matković, Mario - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 37 (2019) 2, pp. 713-739

Persistent link: https://www.econbiz.de/10012213665

Asset co-movements: Features and challenges

Gospodinov, Nikolaj - 2017

This paper documents and characterizes the time-varying structure of U.S. and international asset co-movements. Although some of the time variation could be genuine, the sampling uncertainty and time series properties of the series can distort significantly the underlying signal dynamics. We...

Persistent link: https://www.econbiz.de/10012030265