Search Results - subject:"high–frequency data"

Assessing the quality of volatility estimators via option pricing

Sanfelici, Simona; Uboldi, Adamo - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 18 (2014) 2, pp. 103-124

Persistent link: https://www.econbiz.de/10010347332

Semiparametric density forecasts of daily financial returns from intraday data

Hallam, Mark; Olmo, Jose - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 408-432

Persistent link: https://www.econbiz.de/10010351542

Power law scaling and "Dragon-Kings'' in distributions of intraday financial drawdown

Filimonov, Vladimir; Sornette, Didier - 2014

We investigate the distributions of e-drawdowns and e-drawups of the most liquid futures financial contracts of the world at time scales of 30 seconds. The e-drawdowns (resp. e-drawups) generalise the notion of runs of negative (resp. positive) returns so as to capture the risks to which...

Persistent link: https://www.econbiz.de/10010412365

Real-time pricing of options on currency futures with artificial neural networks

Spreckelsen, Christian von; Mettenheim, Hans-Jörg von; … - In: Journal of forecasting 33 (2014) 6, pp. 419-432

Persistent link: https://www.econbiz.de/10010425541

Bootstrap inference for pre-averaged realized volatility based on nonoverlapping returns

Gonçalves, Sílvia; Hounyo, Ulrich; Meddahi, Nour - In: Journal of financial econometrics : official journal of … 12 (2014) 4, pp. 679-707

Persistent link: https://www.econbiz.de/10010512286

Covariance estimation using high-frequency data: Sensitivities of estimation methods

Haugom, Erik; Lien, Gudbrand; Veka, Steinar; Westgaard, Sjur - In: Economic modelling 43 (2014), pp. 416-425

Persistent link: https://www.econbiz.de/10010503037

Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

Boudt, Kris; Petitjean, Mikael - In: Journal of financial markets 17 (2014), pp. 121-149

Persistent link: https://www.econbiz.de/10010437262

The implications of a price anchoring effect at the upstairs market of the London Stock Exchange

Verousis, Thanos; Ap Gwilym, Owain - In: International review of financial analysis 32 (2014), pp. 37-46

Persistent link: https://www.econbiz.de/10010461347

Fact or friction : jumps at ultra high frequency

Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599

Persistent link: https://www.econbiz.de/10010532687

What is the effect of macroeconomic announcements on the foreign exchange market? An intraday analysis on the peso/dollar exchange rate

Cram, Roberto Gómez - In: Gaceta de economía 20 (2014) 32, pp. 1-26

Persistent link: https://www.econbiz.de/10011581269

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