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Search: subject:"high–frequency data"
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Volatility
471
Volatilität
466
high-frequency data
393
High-frequency data
363
Zeitreihenanalyse
300
Time series analysis
288
Börsenkurs
283
Share price
272
Schätzung
262
Estimation
249
Theorie
222
Theory
207
high frequency data
164
High frequency data
154
Prognoseverfahren
151
Forecasting model
148
Market microstructure
141
Capital income
123
Kapitaleinkommen
123
Stochastischer Prozess
123
Marktmikrostruktur
122
Stochastic process
122
ARCH-Modell
120
ARCH model
119
Schätztheorie
115
Estimation theory
111
Finanzmarkt
88
Financial market
81
Ankündigungseffekt
74
Aktienmarkt
73
High-Frequency Data
72
Stock market
70
Announcement effect
67
Correlation
67
Korrelation
67
Varianzanalyse
57
Wechselkurs
56
Analysis of variance
55
Portfolio selection
55
Portfolio-Management
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35
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33
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935
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6
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Bollerslev, Tim
45
Podolskij, Mark
36
Todorov, Viktor
35
Hautsch, Nikolaus
33
Andersen, Torben G.
20
Diebold, Francis X.
16
Li, Jia
15
Ranaldo, Angelo
15
Tauchen, George Eugene
15
Caporale, Guglielmo Maria
14
Hansen, Peter Reinhard
14
Hounyo, Ulrich
14
Lunde, Asger
14
Stübinger, Johannes
14
Bibinger, Markus
13
McAleer, Michael
13
Patton, Andrew J.
13
Christensen, Kim
11
Ehrmann, Michael
11
Martens, Martin
11
Tauchen, George
11
Yang, Xiye
11
Audrino, Francesco
10
Ben Omrane, Walid
10
Dijk, Dick van
10
Hirayama, Kenjiro
10
Vetter, Mathias
10
Voev, Valeri
10
Andersen, Torben
9
Dungey, Mardi H.
9
Endres, Sylvia
9
Erdemlioglu, Deniz
9
Li, Yingying
9
Meddahi, Nour
9
Nishimura, Yusaku
9
Oya, Kosuke
9
Tsutsui, Yoshiro
9
Winkelmann, Lars
9
van Dijk, Dick
9
Ghysels, Eric
8
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School of Economics and Management, University of Aarhus
49
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
12
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
11
Center for Financial Studies
10
HAL
10
Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
9
Schweizerische Nationalbank (SNB)
9
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
9
C.E.P.R. Discussion Papers
8
Duke University, Department of Economics
8
Graduate School of Economics, Osaka University
8
School of Economics and Political Science, Universität St. Gallen
7
Department of Economics, Oxford University
6
European Central Bank
6
Université Paris-Dauphine (Paris IX)
6
Society for Computational Economics - SCE
5
Tinbergen Instituut
5
EconWPA
4
Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
4
Tinbergen Institute
4
Banco de México
3
CESifo
3
DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
3
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
3
Department of Economics, University of Pennsylvania
3
Dipartimento di Economia, Università Ca' Foscari Venezia
3
Dipartimento di Scienze per l'Economia e l'Impresa, Università degli Studi di Firenze
3
Econometric Society
3
Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
3
Institut für Wirtschafts- und Sozialstatistik, Universität Dortmund
3
Institute of Economic Research, Hitotsubashi University
3
Bank for International Settlements (BIS)
2
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Department of Economics, European University Institute
2
Department of Economics, University of California-San Diego (UCSD)
2
Deutsche Bank Research
2
Deutsche Bundesbank
2
Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
2
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
2
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Journal of econometrics
52
CREATES Research Papers
48
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Physica A: Statistical Mechanics and its Applications
17
Journal of financial econometrics
16
Economic modelling
15
Journal of international financial markets, institutions & money
15
Quantitative finance
15
Finance research letters
12
Journal of forecasting
12
MPRA Paper
12
CFS Working Paper Series
11
CIRANO Working Papers
11
Econometrics
11
Journal of Risk and Financial Management
11
Journal of empirical finance
11
SFB 649 Discussion Paper
11
Economics letters
10
International review of financial analysis
10
Journal of risk and financial management : JRFM
10
Applied economics letters
9
CORE Discussion Papers
9
Discussion paper / Tinbergen Institute
9
Econometrics : open access journal
9
International review of economics & finance : IREF
9
SFB 649 Discussion Papers
9
The North American journal of economics and finance : a journal of financial economics studies
9
Tinbergen Institute Discussion Papers
9
Working Paper
9
Working Papers / Schweizerische Nationalbank (SNB)
9
CEPR Discussion Papers
8
CFS Working Paper
8
Discussion Papers in Economics and Business
8
Energy economics
8
Journal of financial econometrics : official journal of the Society for Financial Econometrics
8
Research in international business and finance
8
Tinbergen Institute Discussion Paper
8
Working Papers / Duke University, Department of Economics
8
CESifo Working Paper
7
ECB Working Paper
7
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Source
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ECONIS (ZBW)
660
RePEc
456
EconStor
146
Other ZBW resources
8
BASE
6
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1041
Prediction power of high-frequency based volatility measures : a model based approach
Hamid, Alain
- In:
Review of managerial science
9
(
2015
)
3
,
pp. 549-576
Persistent link: https://www.econbiz.de/10011283668
Saved in:
1042
Are classical option pricing models consistent with observed option second-order moments? : evidence from
high-frequency
data
Audrino, Francesco
;
Fengler, Matthias
- In:
Journal of banking & finance
61
(
2015
),
pp. 46-63
Persistent link: https://www.econbiz.de/10011545126
Saved in:
1043
Is Exchange Rate Trading Profitable?
Narayan, Paresh Kumar
;
Mishra, Sagarika
;
Narayan, Seema
; …
- In:
Journal of international financial markets, …
38
(
2015
),
pp. 217-229
Persistent link: https://www.econbiz.de/10011475217
Saved in:
1044
Semiparametric autoregressive conditional duration model : theory and practice
Saart, Patrick W.
;
Gao, Jiti
;
Allen, David E.
- In:
Econometric reviews
34
(
2015
)
6/10
,
pp. 849-881
Persistent link: https://www.econbiz.de/10011483396
Saved in:
1045
Augmented half-life estimation based on
high-frequency
data
Huang, Mao-Lung
;
Liao, Shu-Yi
;
Lin, Kuo-Chin
- In:
Journal of forecasting
34
(
2015
)
7
,
pp. 523-532
Persistent link: https://www.econbiz.de/10011390442
Saved in:
1046
Estimating dynamic copula dependence using intraday data
Grossmass, Lidan
;
Poon, Ser-Huang
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
19
(
2015
)
4
,
pp. 501-529
Persistent link: https://www.econbiz.de/10011339412
Saved in:
1047
Two-scale realized kernels : a univariate case
Ikeda, Shin S.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
1
,
pp. 126-165
Persistent link: https://www.econbiz.de/10010519659
Saved in:
1048
Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and
high
frequency
data
Avdulaj, Krenar
;
Barunik, Jozef
- In:
Energy economics
51
(
2015
),
pp. 31-44
Persistent link: https://www.econbiz.de/10011564203
Saved in:
1049
Large tick assets : implicit spread and optimal tick size
Dayri, Khalil
;
Rosenbaum, Mathieu
- In:
Market microstructure and liquidity
1
(
2015
)
1
,
pp. 1-29
Persistent link: https://www.econbiz.de/10011588190
Saved in:
1050
The economic value of volatility timing with realized jumps
Nolte, Ingmar
;
Xu, Qi
- In:
Journal of empirical finance
34
(
2015
),
pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
Saved in:
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