Search Results - subject:"high–frequency data"

Co-jumps, co-jump tests, and volatility forecasting: Monte Carlo and empirical evidence

Peng, Weijia; Yao, Chun - In: Journal of Risk and Financial Management 15 (2022) 8, pp. 1-21

idiosyncratic risk by utilizing high-frequency data. We found that systematic risk occurs more frequently and has larger magnitudes …

Persistent link: https://www.econbiz.de/10014332535

Optimizing portfolio risk of cryptocurrencies using data-driven risk measures

Bowala, Sulalitha; Singh, Japjeet - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-16

transactions, risk forecasting using daily data is not enough, and a high-frequency analysis is required. High-frequency data …

Persistent link: https://www.econbiz.de/10014332626

How Resilient Was Trade to Covid-19?

Bas, Maria; Fernandes, Ana Margarida; Paunov, Caroline - 2022

We examine the supply-side characteristics - unskilled labor, imported input intensity, dependence on inputs from China, production complexity - that determine different potential vulnerabilities of traded products to the COVID-19 pandemic. Relying on monthly exports at the product level by all...

Persistent link: https://www.econbiz.de/10013266617

Exponential high-frequency-based-volatility (EHEAVY) models

Xu, Yongdeng - 2022

This paper proposes an Exponential HEAVY (EHEAVY) model. The model specifies the dynamics of returns and realized measures of volatility in an exponential form, which guarantees the positivity of volatility without restrictions on parameters and naturally allows the asymmetric effects. It...

Persistent link: https://www.econbiz.de/10013272183

Pricing European currency options with high-frequency data

Le, Thi; Hoque, Ariful - In: Risks : open access journal 10 (2022) 11, pp. 1-15

longer horizon. Our paper proposes a new approach to accurately pricing currency options using high-frequency data. …Technological innovation has changed the financial market significantly with the increasing application of high-frequency … data in research and practice. This study examines the performance of intraday implied volatility (IV) in estimating …

Persistent link: https://www.econbiz.de/10014225987