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  • Search: subject:"Tick data"
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Year of publication
Subject
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tick data 11 Volatility 10 Volatilität 9 Tick-by-tick data 8 spectral cojump estimator 7 Central bank communication 6 Tick data 6 yield curve 6 Börsenkurs 5 EU-Staaten 5 Share price 5 high frequency tick-data 5 tick-by-tick data 5 volatility 5 Ankündigungseffekt 4 Announcement effect 4 EU countries 4 Securities trading 4 Tick by tick data 4 Time series analysis 4 Wertpapierhandel 4 Yield curve 4 Zeitreihenanalyse 4 central bank communication 4 2001-2012 3 Börsenhandel 3 Derivat 3 Derivative 3 Duration 3 Estimation 3 Geldpolitik 3 India 3 Indien 3 Liquidity 3 Monetary policy 3 Option pricing theory 3 Option trading 3 Optionsgeschäft 3 Optionspreistheorie 3 Political communication 3
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Online availability
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Free 25 Undetermined 15 CC license 1
Type of publication
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Article 24 Book / Working Paper 21
Type of publication (narrower categories)
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Article in journal 13 Aufsatz in Zeitschrift 13 Working Paper 9 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article 3 research-article 1
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Language
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English 32 Undetermined 13
Author
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Bibinger, Markus 7 Linzert, Tobias 7 Winkelmann, Lars 6 Ghysels, Eric 4 Jasiak, Joanna 4 Dionne, Georges 3 Herrmann, Klaus 3 Pacurar, Maria 3 Teis, Stefan 3 Vergote, Olivier 3 Yu, Weijun 3 Beaupain, Renaud 2 Caldeira, João F. 2 Dixit, Alok 2 Durré, Alain 2 Gutiérrez, Puigvert 2 Kumar, Vineet 2 Maria, Josep 2 Mishra, Abhishek 2 Rathgeber, A. W. 2 Selvamuthu, Dharmaraja 2 Singh, Shivam 2 Stöckl, S. 2 Trojan, Sebastian 2 Zhou, Xiaozhou 2 Abergel, Frédéric 1 Andrikopoulos, Panagiotis 1 Beccar Varela, M.P. 1 Blais, Marcel 1 Cartea, Álvaro 1 Dahlhaus, Rainer 1 Duchesne, Pierre 1 Délèze, Frédéric 1 Ferreira, Mário Pedro Leite de Almeida 1 Florescu, I. 1 Fong, Kingsley Y. 1 Gurgul, Henryk 1 Hussain, Syed Mujahid 1 Huth, Nicolas 1 Kallinterakis, Vasileios 1
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Institution
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European Central Bank 3 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) 1 Departamento de Economía de la Empresa, Universidad Carlos III de Madrid 1 Departamento de Estadistica, Universidad Carlos III de Madrid 1 School of Economics and Political Science, Universität St. Gallen 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1 Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg 1
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Published in...
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ECB Working Paper 3 Studies in Nonlinear Dynamics & Econometrics 3 Working Paper Series / European Central Bank 3 Cahiers de recherche 2 International review of financial analysis 2 Physica A: Statistical Mechanics and its Applications 2 Annals of Finance 1 Annals of the Institute of Statistical Mathematics 1 Business Economics Working Papers 1 CIRANO Working Papers 1 Central European journal of operations research 1 Discussion paper / Universität St. Gallen, Volkswirtschaftliche Abteilung ; School of Economics and Political Science, Department of Economics 1 EconomiA 1 Economia : revista da ANPEC 1 Economics Working Paper Series / School of Economics and Political Science, Universität St. Gallen 1 Financial Innovation 1 Financial innovation : FIN 1 IWQW Discussion Paper Series 1 IWQW Discussion Papers 1 IWQW discussion paper series 1 Journal of Banking & Finance 1 Journal of applied econometrics 1 Journal of banking & finance 1 Journal of empirical finance 1 Journal of financial econometrics : official journal of the Society for Financial Econometrics 1 Journal of quantitative economics 1 MPRA Paper 1 Multinational finance journal : MF ; quarterly publication of the Multinational Finance Society 1 Review of Derivatives Research 1 Review of derivatives research 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 SFB 649 discussion paper 1 Statistics and Econometrics Working Papers 1 Theoretical economics letters 1 Working paper series / European Central Bank 1
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Source
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RePEc 19 ECONIS (ZBW) 17 EconStor 8 Other ZBW resources 1
Showing 21 - 30 of 45
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Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor
Vergote, Olivier; Puigvert Gutiérrez, Josep Maria - 2011
This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In particular, the non-parametric estimator of these...
Persistent link: https://www.econbiz.de/10011605437
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Interest rate expectations and uncertainty during ECB governing council days: evidence from intraday implied densities of 3-month Euribor
Vergote, Olivier; Gutiérrez, Puigvert; Maria, Josep - European Central Bank - 2011
This paper analyses changes in short-term interest rate expectations and uncertainty during ECB Governing Council days. For this purpose, it first extends the estimation of risk-neutral probability density functions up to tick frequency. In particular, the non-parametric estimator of these...
Persistent link: https://www.econbiz.de/10009367481
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Algorithms for merging tick data and data analysis for Indian financial market
Sinha, Pankaj; Sharma, Gopalakrishna; Shah, Akash; … - Volkswirtschaftliche Fakultät, … - 2011
This paper discusses the problem of ‘merging’ financial tick data available from data sources such as Bloomberg, NSE … essential for any financial analysis, of tick data representing the simultaneous trades of the different derivative securities …. Merging refers to the conversion of intraday tick data of different securities of varying frequencies, as provided by data …
Persistent link: https://www.econbiz.de/10009151581
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Performance of the Heston's stochastic volatility model : a study in Indian index options market
Singh, Shivam; Dixit, Alok - In: Theoretical economics letters 6 (2016) 2, pp. 151-165
Persistent link: https://www.econbiz.de/10011545451
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ECB monetary policy surprises : identification through cojumps in interest rates
Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - In: Journal of applied econometrics 31 (2016) 4, pp. 613-629
Persistent link: https://www.econbiz.de/10011645208
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Derivatives pricing with marked point processes using Tick-by-tick dataR
Cartea, Álvaro - Departamento de Economía de la Empresa, Universidad … - 2010
I propose to model stock price tick-by-tick data via a non-explosive marked point process. The arrival of trades is …
Persistent link: https://www.econbiz.de/10008478897
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The econometrics of randomly spaced financial data: a survey
Monteiro, Andre A. - Departamento de Estadistica, Universidad Carlos III de … - 2009
sometimes called tick data. Additionally, a synthesis of the basic theory underlying these models is also presented. Finally, a …
Persistent link: https://www.econbiz.de/10008474165
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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
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The interday and intraday patterns of the overnight market: evidence from an electronic platform
Beaupain, Renaud; Durré, Alain - European Central Bank - 2008
This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of...
Persistent link: https://www.econbiz.de/10005025573
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The interday and intraday patterns of the overnight market: evidence from an electronic platform
Beaupain, Renaud; Durré, Alain - 2008
This paper examines the interday and intraday dynamics of the euro area overnight money market on the basis of an original set of market activity and liquidity proxies constructed from both pre- and post-trade data. The empirical literature provides extensive evidence supporting the rejection of...
Persistent link: https://www.econbiz.de/10011605034
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