Search Results - subject:"high–frequency data"

Narrow search

Stock market reactions to monetary policy surprises under uncertainty

Benchimol, Jonathan; Saadon, Yossi; Segev, Nimrod - In: International review of financial analysis 89 (2023), pp. 1-12

Persistent link: https://www.econbiz.de/10014467050

Applications of high-frequency data in finance : a bibliometric literature review

Hussain, Syed Mujahid; Ahmad, Nisar; Ahmed, Sheraz - In: International review of financial analysis 89 (2023), pp. 1-18

Persistent link: https://www.econbiz.de/10014467089

Senior official speeches and severe price discontinuities in the foreign exchange market

Ayadi, Mohamed; Ben Omrane, Walid; Wang, Jiayu; Welch, … - In: Studies in economics and finance 40 (2023) 5, pp. 773-794

Persistent link: https://www.econbiz.de/10014467156

Intraday cross-sectional distributions of systematic risk

Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418

Persistent link: https://www.econbiz.de/10014471397

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

Uniform predictive inference for factor models with instrumental and idiosyncratic betas

Cheng, Mingmian; Liao, Yuan; Yang, Xiye - In: Journal of econometrics 237 (2023) 2,3, pp. 1-28

Persistent link: https://www.econbiz.de/10014471816

Conditional and unconditional intraday value-at-risk models : an application to high-frequency tick-by-tick exchange-traded fund data

Nunkoo, Houmera Bibi Sabera; Sookia, Noor Ul Hacq; … - In: Journal of risk : JOR 26 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014487297

Realized quantity extended conditional autoregressive value-at-risk models

Götz, Pit - In: Journal of risk : JOR 26 (2023) 2, pp. 33-63

Persistent link: https://www.econbiz.de/10014487299

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Central bank information shocks and exchange rates

Franz, Thorsten - 2020

, on the euro (EUR) exchange rate are examined using a Bayesian Proxy Vector Autoregressive (VAR) model fed with high-frequency … data. Contractionary monetary policy shocks result in a sizable appreciation of the nominal effective and bilateral EUR …

Persistent link: https://www.econbiz.de/10012180933

A service of the

zbw