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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 611 - 620 of 1,276
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GetHFData: a R package for downloading and aggregating high frequency trading data from Bovespa
Perlin, Marcelo Scherer; Ramos, Henrique P. - In: Revista Brasileira de Finanças : RBFin 14 (2016) 3, pp. 443-478
Persistent link: https://www.econbiz.de/10011654254
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The dependence structure in volatility between Shanghai and Shenzhen stock market in China : A copula-MEM approach
Guo, Mingyuan; Wang, Xu - In: China Finance Review International 6 (2016) 3, pp. 264-283
stock market in China based on high-frequency data. Design/methodology/approach – Using a multiplicative error model … margins for the market volatility directly based on high-frequency data, and proposes a proper distribution for the innovation …
Persistent link: https://www.econbiz.de/10014694700
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Jumps in high-frequency data : spurious detections, dynamics, and news
Bajgrowicz, Pierre; Scaillet, Olivier; Treccani, Adrien - In: Management science : journal of the Institute for … 62 (2016) 8, pp. 2198-2217
Persistent link: https://www.econbiz.de/10011539496
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Allowing for jump measurements in volatility : a high-frequency financial data analysis of individual stocks
Papavassiliou, Vassilios G. - In: Bulletin of economic research 68 (2016) 2, pp. 124-132
Persistent link: https://www.econbiz.de/10011496410
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High-frequency exchange rate forecasting
Cai, Charlie X.; Zhang, Qi - In: European financial management : the journal of the … 22 (2016) 1, pp. 120-141
Persistent link: https://www.econbiz.de/10011438282
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The sign switch effect of macroeconomic news in foreign exchange markets
Ben Omrane, Walid; Savaşer, Tanseli - In: Journal of international financial markets, … 45 (2016), pp. 96-114
Persistent link: https://www.econbiz.de/10011690449
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The information content of analysts' recommendations revisited
Bradley, Daniel; Clarke, Jonathan E.; Lee, Suzanne; … - In: Journal of investment management : JOIM 14 (2016) 1, pp. 75-86
Persistent link: https://www.econbiz.de/10011691264
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Exponential GARCH modeling with realized measures of volatility
Hansen, Peter Reinhard; Huang, Zhuo - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 269-287
Persistent link: https://www.econbiz.de/10011691332
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Econometric analysis of vast covariance matrices using composite realized kernels and their application to portfolio choice
Lunde, Asger; Shephard, Neil G.; Sheppard, Kevin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 504-518
Persistent link: https://www.econbiz.de/10011692391
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The dependence structure in volatility between Shanghai and Shenzhen stock market in China : a copula-MEM approach
Guo, Mingyuan; Wang, Xu - In: China finance review international 6 (2016) 3, pp. 264-283
Persistent link: https://www.econbiz.de/10011722771
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