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Search: subject:"high–frequency data"
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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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Free
684
Undetermined
469
CC license
35
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Article
668
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608
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Article in journal
483
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483
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266
Graue Literatur
163
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163
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155
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33
Thesis
8
research-article
8
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7
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7
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4
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3
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3
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2
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1
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1
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English
935
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320
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6
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5
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3
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2
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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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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
All
ECONIS (ZBW)
660
RePEc
456
EconStor
146
Other ZBW resources
8
BASE
6
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171
Noisy
high
frequency
data
-based estimation of volatility function with applications
Lin, Jinguan
;
Ye, Xuguo
;
Zhao, Yanyong
;
Hao, Hongxia
- In:
The Singapore economic review
68
(
2023
)
6
,
pp. 2127-2150
Persistent link: https://www.econbiz.de/10014500398
Saved in:
172
News arrival, time-varying jump intensity, and realized volatility : conditional testing approach
Erdemlioglu, Deniz
;
Yang, Xiye
- In:
Journal of financial econometrics
21
(
2023
)
5
,
pp. 1519-1556
Persistent link: https://www.econbiz.de/10014444697
Saved in:
173
Estimation of leverage effect : kernel function and efficiency
Yang, Xiye
- In:
Journal of business & economic statistics : JBES ; a …
41
(
2023
)
3
,
pp. 939-956
Persistent link: https://www.econbiz.de/10014448463
Saved in:
174
Integrated variance of irregularly spaced
high-frequency
data
: a state space approach based on pre-averaging
Alexeev, Vitali
;
Chen, Jun
;
Ignatieva, Ekaterina
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
27
(
2023
)
5
,
pp. 733-763
Persistent link: https://www.econbiz.de/10014506869
Saved in:
175
Asymmetric and time-frequency volatility connectedness between China and international crude oil markets with portfolio implications
Liu, Zhenhua
;
Ji, Qiang
;
Zhai, Pengxiang
;
Ding, Zhihua
- In:
Research in international business and finance
66
(
2023
),
pp. 1-22
Persistent link: https://www.econbiz.de/10014462203
Saved in:
176
Weekly economic activity : measurement and informational content
Wegmüller, Philipp
;
Glocker, Christian
;
Guggia, Valentino
- In:
International journal of forecasting
39
(
2023
)
1
,
pp. 228-243
Persistent link: https://www.econbiz.de/10014462777
Saved in:
177
Futures trading activity and the jump risk of spot market : evidence from the bitcoin market
Zhang, Chuanhai
;
Ma, Huan
;
Liao, Xiaosai
- In:
Pacific-Basin finance journal
78
(
2023
),
pp. 1-21
Persistent link: https://www.econbiz.de/10014463770
Saved in:
178
DCC- and DECO-HEAVY : multivariate GARCH models based on realized variances and correlations
Bauwens, Luc
;
Xu, Yongdeng
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 938-955
Persistent link: https://www.econbiz.de/10014465168
Saved in:
179
Economic evaluation of dynamic hedging strategies using
high-frequency
data
Lai, Yu-Sheng
- In:
Finance research letters
57
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014517872
Saved in:
180
Mind your language : market responses to central bank speeches
Ahrens, Maximilian
;
Erdemlioglu, Deniz
;
McMahon, Michael
; …
-
2023
Persistent link: https://www.econbiz.de/10014325089
Saved in:
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