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  • Search: subject:"high–frequency data"
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Year of publication
Subject
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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 55
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Online availability
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Free 684 Undetermined 469 CC license 35
Type of publication
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Article 668 Book / Working Paper 608
Type of publication (narrower categories)
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Article in journal 483 Aufsatz in Zeitschrift 483 Working Paper 266 Graue Literatur 163 Non-commercial literature 163 Arbeitspapier 155 Article 33 Thesis 8 research-article 8 Aufsatz im Buch 7 Book section 7 Hochschulschrift 4 Conference paper 3 Konferenzbeitrag 3 Aufsatzsammlung 2 Collection of articles of several authors 1 Collection of articles written by one author 1 Conference Paper 1 Konferenzschrift 1 Preprint 1 Sammelwerk 1 Sammlung 1
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Language
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English 935 Undetermined 320 German 6 Portuguese 5 French 3 Spanish 3 Italian 2 Czech 1 Lithuanian 1
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Author
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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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Institution
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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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Published in...
All
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
Showing 1,101 - 1,110 of 1,276
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A Note on the Central Limit Theorem for Bipower Variation of General Functions
Kinnebrock, Silja; Podolskij, Mark - Finance Research Centre, Oxford University - 2007
In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij & Shephard (2006), who showed the central limit theorem for even...
Persistent link: https://www.econbiz.de/10005227076
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Makrooekonomische Nachrichten und die Reaktion des 15-Sekunden-DAX: Eine Ereignisstudie zur Wirkung der ZEW-Konjunkturprognose
Entorf, Horst; Steiner, Christian - In: Journal of Economics and Statistics (Jahrbuecher fuer … 227 (2007) 1, pp. 3-26
forecasts. Retunrs are computed using high-frequency data observed for 15-second intervals. Publications of macroeconomic US …
Persistent link: https://www.econbiz.de/10005260348
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A Note on the Central Limit Theorem for Bipower Variation of General Functions
Kinnebrock, Silja; Podolskij, Mark - Department of Economics, Oxford University - 2007
In this paper we present the central limit theorem for general functions of the increments of Brownian semimartingales. This provides a natural extension of the results derived in Barndorff-Nielsen, Graversen, Jacod, Podolskij and Shephard (2006), who showed the central limit theorem for even...
Persistent link: https://www.econbiz.de/10010661403
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Overreaction and multiple tail dependence at the high-frequency level: The copula rose
Ng, Wing Lon - 2006
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...
Persistent link: https://www.econbiz.de/10010265662
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Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets
Canto, Bea; Kräussl, Roman - 2006
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10010298339
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Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
Ng, Wing Lon - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
): “Correcting the errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities,” Econometrica, 73 … frequency data, non- and semiparametric cop- ulas, overreaction, tail dependence, compass rose. JEL Classifications: C14,C22,G14 … of overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose. Key Words: high …
Persistent link: https://www.econbiz.de/10005489950
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Stock market interactions and the impact of macroeconomic news: Evidence from high frequency data of European futures markets
Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006
This study analyzes the short-term dynamic spillovers between the futures returns on the DAX, the DJ Eurostoxx 50 and the FTSE 100. It also examines whether economic news is one source of international stock return co-movements. In particular, we test whether stock market interdependencies are...
Persistent link: https://www.econbiz.de/10010986456
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Modelling Financial High Frequency Data Using Point Processes
Luc, BAUWENS; Nikolaus, HAUTSCH - Institut de Recherche Économique et Sociale (IRES), … - 2006
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...
Persistent link: https://www.econbiz.de/10004984822
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Modelling financial high frequency data using point processes
BAUWENS, Luc; HAUTSCH, Nikolaus - Center for Operations Research and Econometrics (CORE), … - 2006
In this chapter written for a forthcoming Handbook of Financial Time Series to be published by Springer-Verlag, we review the econometric literature on dynamic duration and intensity processes applied to high frequency financial data, which was boosted by the work of Engle and Russell (1997) on...
Persistent link: https://www.econbiz.de/10005043712
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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
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