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Search: subject:"high-frequency data"
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Volatility
476
Volatilität
471
high-frequency data
401
High-frequency data
366
Zeitreihenanalyse
304
Time series analysis
292
Börsenkurs
283
Share price
272
Schätzung
264
Estimation
251
Theorie
225
Theory
210
high frequency data
164
High frequency data
154
Prognoseverfahren
154
Forecasting model
151
Market microstructure
143
Capital income
124
Kapitaleinkommen
124
Marktmikrostruktur
124
Stochastischer Prozess
123
Stochastic process
122
ARCH-Modell
121
ARCH model
120
Schätztheorie
116
Estimation theory
112
Finanzmarkt
88
Financial market
81
Ankündigungseffekt
75
High-Frequency Data
74
Aktienmarkt
73
Stock market
70
Announcement effect
68
Correlation
68
Korrelation
68
Varianzanalyse
59
Analysis of variance
57
Portfolio selection
57
Portfolio-Management
57
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694
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36
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36
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8
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948
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320
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6
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Bollerslev, Tim
45
Todorov, Viktor
37
Podolskij, Mark
36
Hautsch, Nikolaus
33
Andersen, Torben G.
20
Diebold, Francis X.
16
Caporale, Guglielmo Maria
15
Li, Jia
15
Ranaldo, Angelo
15
Tauchen, George Eugene
15
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
Andersen, Torben
10
Audrino, Francesco
10
Ben Omrane, Walid
10
Dijk, Dick van
10
Hirayama, Kenjiro
10
Vetter, Mathias
10
Voev, Valeri
10
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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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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Journal of econometrics
52
CREATES Research Papers
48
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
18
Journal of financial econometrics
17
Physica A: Statistical Mechanics and its Applications
17
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
Discussion paper / Tinbergen Institute
10
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
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 Paper
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
Working Papers / Duke University, Department of Economics
8
CESifo Working Paper
7
ECB Working Paper
7
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Source
All
ECONIS (ZBW)
668
RePEc
456
EconStor
151
Other ZBW resources
8
BASE
6
Showing
1
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10
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1
Identifying the underlying components of
high-frequency
data
: pure vs jump diffusion processes
Hizmeri, Rodrigo
;
Izzeldin, Marwan
;
Urga, Giovanni
-
2025
Persistent link: https://www.econbiz.de/10015191535
Saved in:
2
Central bank information effects in Japan : the role of uncertainty channel
Morita, Hiroshi
;
Matsumoto, Ryo
;
Ono, Taiki
- In:
Empirical economics : a quarterly journal of the …
68
(
2025
)
2
,
pp. 855-877
Persistent link: https://www.econbiz.de/10015193879
Saved in:
3
Forecasting beta using ultra
high
frequency
data
Zhou, Jian
- In:
Journal of forecasting
44
(
2025
)
2
,
pp. 485-496
Persistent link: https://www.econbiz.de/10015374057
Saved in:
4
Tracking economic activity with alternative
high-frequency
data
Eckert, Florian
;
Kronenberg, Philipp
;
Mikosch, Heiner
; …
-
2025
Persistent link: https://www.econbiz.de/10015372760
Saved in:
5
Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon
;
Lunde, Asger
-
2025
Persistent link: https://www.econbiz.de/10015372704
Saved in:
6
Real-time GARCHCARR : A joint model of returns, realized measure of volatility and current intraday information
Buyun, Xu
;
Wu, Zhimin
-
2025
Persistent link: https://www.econbiz.de/10015372603
Saved in:
7
Managing cryptocurrency risk exposures in equity portfolios : evidence from
high-frequency
data
Leong, Minhao
;
Alexeev, Vitali
;
Kwok, Simon Sai Man
- In:
Journal of international financial markets, …
99
(
2025
),
pp. 1-20
Persistent link: https://www.econbiz.de/10015405747
Saved in:
8
The price of processing : information frictions and market efficiency in DeFi
Azar, Pablo
;
Olivas, Sergio
;
Sinha, Nish D.
-
2025
This paper investigates the speed of price discovery when information becomes publicly available but requires costly processing to become common knowledge. We exploit the unique institutional setting of hacks on decentralized finance (DeFi) protocols. Public blockchain data provides the precise...
Persistent link: https://www.econbiz.de/10015396109
Saved in:
9
Fed-driven systemic tail risk : high-frequency measurement, evidence and implications
Erdemlioglu, Deniz
;
Neely, Christopher J.
;
Yang, Xiye
-
2025
Persistent link: https://www.econbiz.de/10014320683
Saved in:
10
Real-time detection of local no-arbitrage violations
Andersen, Torben
;
Todorov, Viktor
;
Zhou, Bo
- In:
Quantitative economics : QE ; journal of the …
16
(
2025
)
2
,
pp. 459-495
stopping rules, are applied sequentially to continually incoming
high‐frequency
data
. We show that they are asymptotically …
Persistent link: https://www.econbiz.de/10015423092
Saved in:
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