Search Results - subject:"Tick data"

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

Stability of Markovian structure observed in high frequency foreign exchange data

Tanaka-Yamawaki, Mieko - In: Annals of the Institute of Statistical Mathematics 55 (2003) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10005184689

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