Search Results - subject:"Time scale"

Data-based parametrization for Affine GARCH models across multiple time scales : roughness implications

Escobar, Marcos; Ferrando, Sebastian; Li, Fuyu; Xu, Ke - In: Econometrics : open access journal 13 (2025) 1, pp. 1-17

This paper revisits the topic of time-scale parameterizations of the Heston-Nandi GARCH (1,1) model to create a new … frequencies to let data reveal the correct, data-implied, time-scale parameterizations. We compared the data … propose a theoretically flexible time-scale parameterization compatible with this fBM behavior. In this context, a fractional …

Persistent link: https://www.econbiz.de/10015408198

A theory of very short-time price change : security price drivers in times of high-frequency trading

Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34

Academic research has identified several factors that affect price movements; however, the scenario changes abruptly in the case of very short time price changes (VSTPC). This topic is not specifically examined in the existing literature; nonetheless, the behavior of the market microstructure is...

Persistent link: https://www.econbiz.de/10013272630

Design of real-time co-simulation platform for wind energy conversion system

Li, Bing; Zhao, Haoran; Diao, Junchao; Han, Mingzhe - In: Energy Reports 6 (2020) 2, pp. 403-409

This paper presents an all-digital real-time co-simulation platform of refined Wind Energy Conversion System (WECS) model. The proposed platform is based on the Real-time Digital Simulator (RTDS) and FAST developed by National Renewable Energy Laboratory (NREL). The detailed generator and...

Persistent link: https://www.econbiz.de/10012652270

Realized density estimation using intraday prices

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

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

Design of real-time co-simulation platform for wind energy conversion system

Li, Bing; Zhao, Haoran; Diao, Junchao; Han, Mingzhe - In: Energy reports 6 (2020) 2, pp. 403-409

Persistent link: https://www.econbiz.de/10012181015

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

Short-, long- and cross-term comovement of OMXH25 stocks

Jach, Agnieszka; Felixson, Karl - In: Nordic journal of business : NJB 68 (2019) 3, pp. 23-39

Persistent link: https://www.econbiz.de/10012304463

Early warning signals of financial crises with multi-scale quantile regressions of log-periodic power law singularities

Zhang, Qun; Zhang, Qunzhi; Sornette, Didier - 2015

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle...

Persistent link: https://www.econbiz.de/10011412424

Modeling the dynamics of European carbon futures price: a Zipf analysis

Zhu, Bangzhu; Ma, Shujiao; Chevallier, Julien; Wei, Yiming - Institut de Préparation à l'Administration et à la … - 2014

This article investigates the European carbon futures price dynamics by applying the Zipf analysis. The results show that: first, carbon price behaviour is asymmetric, and the long-term bearish probability is greater than the long-term bullish probability. Second, time-scales of investment and...

Persistent link: https://www.econbiz.de/10010754734

Comovement of Selected International Stock Market Indices:A Continuous Wavelet Transformation and Cross Wavelet Transformation Analysis

Masih, Mansur; Majid, Hamdan Abdul - Volkswirtschaftliche Fakultät, … - 2013

correlations on the frequency-time scale domain using continuous wavelet coherency is appealing and can be an important tool in …

Persistent link: https://www.econbiz.de/10011109085