Search Results - subject:"Tick by tick data"

Liquidity-adjusted Intraday Value at Risk modeling and risk management : an application to data from Deutsche Börse

Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou - In: Journal of banking & finance 59 (2015), pp. 202-219

Persistent link: https://www.econbiz.de/10011544444

Online spot volatility-estimation and decomposition with nonlinear market microstructure noise models

Dahlhaus, Rainer; Neddermeyer, Jan Christoph - In: Journal of financial econometrics : official journal of … 12 (2014) 1, pp. 174-212

Persistent link: https://www.econbiz.de/10010233600

High frequency lead/lag relationships : empirical facts

Huth, Nicolas; Abergel, Frédéric - In: Journal of empirical finance 26 (2014), pp. 41-58

Persistent link: https://www.econbiz.de/10010472008

Information arrival, jumps and cojumps in European financial markets : evidence using tick by tick data

Délèze, Frédéric; Hussain, Syed Mujahid - In: Multinational finance journal : MF ; quarterly … 18 (2014) 3/4, pp. 169-213

Persistent link: https://www.econbiz.de/10011457719

Intraday Value at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto Stock Exchange

Dionne, Georges; Duchesne, Pierre; Pacurar, Maria - Centre Interuniversitaire sur le Risque, les Politiques … - 2005

The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an …

Persistent link: https://www.econbiz.de/10005696310

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (2007) 4, pp. 133-149

of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

Persistent link: https://www.econbiz.de/10004966264

GARCH for Irregularly Spaced Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - Centre Interuniversitaire de Recherche en Analyse des … - 1997

, some having a QMLE interpretation. As illustration we present an empirical study of the IBM 1993 tick-by-tick data. We find …

Persistent link: https://www.econbiz.de/10005100975

Non-linear logit models for high-frequency data analysis

Sazuka, Naoya - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 183-189

We analyze tick-by-tick data, the most high frequency data available, of yen–dollar exchange rates with focus on the … selected by AIC agrees well with empirical results. Additionally, the similar bias is obtained from binarized tick-by-tick data …

Persistent link: https://www.econbiz.de/10010588984

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4

of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

Persistent link: https://www.econbiz.de/10014620806

GARCH for Irregularly Spaced Financial Data: The ACD-GARCH Model

Ghysels, Eric; Jasiak, Joanna - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 133-149

of the IBM 1993 tick-by-tick data. We find some evidence that volatility of IBM stock pricesGranger-causes intratrade …

Persistent link: https://www.econbiz.de/10005584888

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