Search Results - subject:"Ultra-high frequency data"

Forecasting beta using ultra high frequency data

Zhou, Jian - In: Journal of forecasting 44 (2025) 2, pp. 485-496

Persistent link: https://www.econbiz.de/10015374057

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - In: Journal of forecasting 43 (2024) 8, pp. 2982-3008

Persistent link: https://www.econbiz.de/10015110592

Streaming approach to quadratic covariation estimation using financial ultra-high-frequency data

Holý, Vladimír; Tomanová, Petra - In: Computational economics 62 (2023) 1, pp. 463-485

Persistent link: https://www.econbiz.de/10014327571

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Intraday option price changes and net buying pressure

Ryu, Doojin; Yang, Heejin - In: Applied economics letters 29 (2022) 4, pp. 292-297

Persistent link: https://www.econbiz.de/10012803523

An examination of the NASDAQ 100 futures contract using ultra high frequency data

Abid, Fathi; Trabelsi, Lotfi - In: Journal of business and finance 1 (2013) 1, pp. 27-37

Persistent link: https://www.econbiz.de/10010201753

Jumps at ultra-high frequency : evidence from the Chinese stock market

Zhang, Chuanhai; Liu, Zhi; Liu, Qiang - In: Pacific-Basin finance journal 68 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013332776

Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market

Alva, Kenedy; Romo, Juan; Ruiz, Esther - Departamento de Estadistica, Universidad Carlos III de … - 2009

We propose recent functional data analysis techniques to study the intra-daily volatility. In particular, the volatility extraction is based on functional principal components and the volatility prediction on functional AR(1) models. The estimation of the corresponding parameters is carried out...

Persistent link: https://www.econbiz.de/10005190170

A deep dive : does big data improve maturity in the developed capital markets?

Singh, Rajesh Kumar; Mitra, Subrata Kumar - In: Theoretical economics letters 9 (2019) 1, pp. 60-74

Persistent link: https://www.econbiz.de/10012005237

Financial Econometric Analysis at Ultra–High Frequency: Data Handling Concerns

Brownlees, Christian T.; Gallo, Giampiero - Dipartimento di Statistica, Informatica, Applicazioni … - 2006

The financial econometrics literature on Ultra High-Frequency Data (UHFD) has been growing steadily in recent years …

Persistent link: https://www.econbiz.de/10005075727