Search Results - subject:"high–frequency data"

The lead-lag relation between VIX futures and SPX futures

Bangsgaard, Christine; Kokholm, Thomas - In: Journal of financial markets 67 (2024), pp. 1-26

Persistent link: https://www.econbiz.de/10014491067

O'Sullivan, Conall; Papavassiliou, Vassilios G.; … - In: Journal of international financial markets, … 90 (2024), pp. 1-33

Persistent link: https://www.econbiz.de/10014494689

Value-at-Risk effectiveness : a high-frequency data approach with semi-heavy tails

Contreras-Valdez, Mario Ivan; Sahu, Sonal; … - In: Risks : open access journal 12 (2024) 3, pp. 1-23

renowned for its semi-heavy tails. Utilizing high-frequency data spanning between 1 January 2017 and 25 October 2022, with a … endorsement of the Normal Inverse Gaussian distribution as a potent model for risk measurement, particularly in the domain of high-frequency … data. To bolster the statistical reliability of our results, we adopt a forward test methodology, showcasing not only a …

Persistent link: https://www.econbiz.de/10014497426

Sluggish news reactions: a combinatorial approach for synchronizing stock jumps

Bouamara, Nabil; Boudt, Kris; Laurent, Sébastien; … - 2024

Persistent link: https://www.econbiz.de/10014521306

Forecasting stock prices of fintech companies of India using random forest with high-frequency data

Meher, Bharat Kumar; Manohar Singh; Birau, Ramona; … - In: Journal of open innovation : technology, market, and … 10 (2024) 1, pp. 1-10

., and Niyogin Ltd. Using Random Forest model with high-frequency data in Python. The literature review section also proves …

Persistent link: https://www.econbiz.de/10014518757

An econometric analysis of volatility discovery

Dias, Gustavo Fruet; Papailias, Fotis; Scherrer, Cristina - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1095-1106

Persistent link: https://www.econbiz.de/10015053535

Changes in the span of systematic risk exposures

Liao, Yuan; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 15 (2024) 3, pp. 817-847

We develop a test for deciding whether the linear spaces spanned by the factor exposures of a large cross-section of assets toward latent systematic risk factors at two distinct points in time are the same. The test uses a panel of asset returns in local windows around the two time points. The...

Persistent link: https://www.econbiz.de/10015053883

Interplay of crises : unpacking intraday spillovers in oil and European equities in the shadow of the COVID-19 and the Ukraine-Russia war

Alshater, Muneer Maher; Hanif, Waqas; El Khoury, Rim; … - In: Borsa Istanbul Review 24 (2024) 4, pp. 747-771

, 2018, we analyze high-frequency data at a 5-min interval to analyze the interplay between crude oil market returns and the …

Persistent link: https://www.econbiz.de/10014635385

A high-frequency GDP indicator for Switzerland

Kronenberg, Philipp - 2024

activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is … obtained from a Bayesian mixed-frequency dynamic factor model that integrates conventional macroeconomic and alternative high-frequency … data at weekly, monthly, and quarterly frequencies. By estimating missing observations as latent states through data …

Persistent link: https://www.econbiz.de/10014562886

Multi-kernel property in high-frequency price dynamics under Hawkes model

Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 4, pp. 605-624

Persistent link: https://www.econbiz.de/10015123070