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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 661 - 670 of 1,276
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VIX forecasting based on GARCH-type model with observable dynamic jumps : a new perspective
Qiao, Gaoxiu; Yang, Jiyu; Li, Weiping - In: The North American journal of economics and finance : a … 53 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012632195
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Analysis of high frequency data in finance: a survey
Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166
Persistent link: https://www.econbiz.de/10012670616
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Trading and non-trading period realized market volatility : does it matter for forecasting the volatility of US stocks?
Lyócsa, Štefan; Todorova, Neda - In: International journal of forecasting 36 (2020) 2, pp. 628-645
Persistent link: https://www.econbiz.de/10012415313
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news....
Persistent link: https://www.econbiz.de/10010270815
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The intertemporal relation between expected return and risk on currency
Bali, Turan G.; Yilmaz, Kamil - 2009
The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...
Persistent link: https://www.econbiz.de/10010277261
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Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data
Steiner, Christian; Groß, Anne; Entorf, Horst - 2009
This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...
Persistent link: https://www.econbiz.de/10010298727
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Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - 2009
We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news....
Persistent link: https://www.econbiz.de/10010303687
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Tails, Fears and Risk Premia
Bollerslev, Tim; Todorov, Viktor - School of Economics and Management, University of Aarhus - 2009
time-varying compensations for fears of disasters. Keywords: rare events, jumps, high-frequency data, options, fears … afiect the premia. In particular, using actual high-frequency data and short maturity options it is possible to non … discuss the data underlying our flndings. 5 Data and Preliminary Estimates 5.1 High-Frequency Data and Statistical Measures …
Persistent link: https://www.econbiz.de/10004980201
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Cover Image
Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009
We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news....
Persistent link: https://www.econbiz.de/10010986436
Saved in:
Cover Image
The Intertemporal Relation between Expected Return and Risk on Currency
Bali, Turan; Yilmaz, Kamil - İktisat Bölümü, İktisadi ve İdari Bilimler Fakültesi - 2009
The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...
Persistent link: https://www.econbiz.de/10008556278
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