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  • Search: subject:"high-frequency data"
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Year of publication
Subject
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Volatility 467 Volatilität 462 high-frequency data 392 High-frequency data 359 Zeitreihenanalyse 298 Time series analysis 286 Börsenkurs 278 Share price 267 Schätzung 260 Estimation 247 Theorie 221 Theory 206 high frequency data 164 High frequency data 154 Prognoseverfahren 151 Forecasting model 148 Market microstructure 139 Capital income 122 Kapitaleinkommen 122 Stochastischer Prozess 122 Stochastic process 121 Marktmikrostruktur 120 ARCH-Modell 119 ARCH model 118 Schätztheorie 115 Estimation theory 111 Finanzmarkt 85 Financial market 78 Ankündigungseffekt 73 High-Frequency Data 72 Aktienmarkt 71 Correlation 68 Korrelation 68 Stock market 68 Announcement effect 66 Varianzanalyse 57 Wechselkurs 56 Analysis of variance 55 Portfolio selection 54 Portfolio-Management 54
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Online availability
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Free 683 Undetermined 466 CC license 34
Type of publication
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Article 662 Book / Working Paper 609
Type of publication (narrower categories)
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Article in journal 478 Aufsatz in Zeitschrift 478 Working Paper 267 Graue Literatur 163 Non-commercial literature 163 Arbeitspapier 155 Article 32 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 930 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 Hansen, Peter Reinhard 14 Hounyo, Ulrich 14 Lunde, Asger 14 Stübinger, Johannes 14 Bibinger, Markus 13 Caporale, Guglielmo Maria 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...
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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 Physica A: Statistical Mechanics and its Applications 17 Journal of financial econometrics 16 Economic modelling 15 Quantitative finance 15 Journal of international financial markets, institutions & money 14 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 SFB 649 Discussion Paper 11 Economics letters 10 International review of financial analysis 10 Journal of empirical finance 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 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 Working paper 8 CESifo Working Paper 7
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Source
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ECONIS (ZBW) 655 RePEc 456 EconStor 146 Other ZBW resources 8 BASE 6
Showing 1 - 10 of 1,271
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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
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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
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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
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2025
Persistent link: https://www.econbiz.de/10015372760
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Exploiting news analytics for volatility forecasting
Tranberg Bodilsen, Simon; Lunde, Asger - 2025
Persistent link: https://www.econbiz.de/10015372704
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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
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Konjunkturbeobachtung mithilfe innovativer Veröffentlichungsformate: das Dashboard Deutschland und der Pulsmesser für die Wirtschaft
Stern, Markus; Gerhard, Marcel; Czerniak, Frederik - In: WISTA – Wirtschaft und Statistik 76 (2024) 1, pp. 15-24
Mit dem Dashboard Deutschland hat das Statistische Bundesamt im Dezember 2020 sein Repertoire an Veröffentlichungsformaten um ein innovatives Datenportal ausgeweitet. Insbesondere politischen Entscheidungsträgerinnen und -trägern soll es eine faktenbasierte Einschätzung der aktuellen...
Persistent link: https://www.econbiz.de/10014485035
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Satellites turn "concrete": Tracking cement with satellite data and neural networks
D'Aspremont, Alexandre; Arous, Simon Ben; Bricongne, … - 2024
This paper exploits daily infrared images taken from satellites to track economic activity in advanced and emerging countries. We first develop a framework to read, clean, and exploit satellite images. Our algorithm uses the laws of physics (Planck's law) and machine learning to detect the heat...
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Persistent link: https://www.econbiz.de/10014543624
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A high-frequency GDP indicator for Switzerland
Kronenberg, Philipp - 2024
activity indicators using alternative high-frequency data created in the wake of the COVID-19 pandemic. The indicator is … obtained from a Bayesian mixed-frequency dynamic factor model that integrates conventional macroeconomic and alternative high-frequency … data at weekly, monthly, and quarterly frequencies. By estimating missing observations as latent states through data …
Persistent link: https://www.econbiz.de/10014564024
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Realized variances vs. correlations: Unlocking the gains in multivariate volatility forecasting
Capera Romero, Laura; Opschoor, Anne - 2024
This paper disentangles the added value of using high-frequency-based (realized) covariance measures on multivariate volatility forecasting into two pillars: the realized variances and realized correlations and quantifies the corresponding economic gains using a broad set of portfolio...
Persistent link: https://www.econbiz.de/10015070286
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