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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A generalized heterogeneous autoregressive model using market information
Hizmeri, Rodrigo; Izzeldin, Marwan; Nolte, Ingmar; … - In: Quantitative finance 22 (2022) 8, pp. 1513-1534
Persistent link: https://www.econbiz.de/10013367925
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The influence of intraday seasonality on volatility transmission pattern
Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
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Scale-, time- and asset-dependence of Hawkes process estimates on high frequency price changes
Wehrli, Alexander; Wheatley, Spencer; Sornette, Didier - In: Quantitative finance 21 (2021) 5, pp. 729-752
Persistent link: https://www.econbiz.de/10012500185
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Modelling the shape of the limit order book
Platania, Federico; Serrano, Pedro; Tapia, Mikel - In: Quantitative finance 18 (2018) 9, pp. 1575-1597
Persistent link: https://www.econbiz.de/10011913208
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High-dimensional realized covariance estimation : a parametric approach
Buccheri, G.; Mboussa Anga, G. - In: Quantitative finance 22 (2022) 11, pp. 2093-2107
Persistent link: https://www.econbiz.de/10013490925
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Analysis of order book flows using a non-parametric estimation of the branching ratio matrix
Achab, Massil; Bacry, E.; Muzy, J. F.; Rambaldi, M. - In: Quantitative finance 18 (2018) 2, pp. 199-212
Persistent link: https://www.econbiz.de/10011905857
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Improvements in estimating the probability of informed trading models
Cheng, Tsung-Chi; Lai, Hung-neng - In: Quantitative finance 21 (2021) 5, pp. 771-796
Persistent link: https://www.econbiz.de/10012500188
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Do price trajectory data increase the efficiency of market impact estimation?
Li, Fengpei; Ihnatiuk, Vitalii; Chen, Yu; Lin, Jiahe; … - In: Quantitative finance 24 (2024) 5, pp. 545-568
Persistent link: https://www.econbiz.de/10014552104
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Market impact : a systematic study of the high frequency options market
Said, Emilio; Bel Hadj Ayed, Ahmed; Thillou, Damien; … - In: Quantitative finance 21 (2021) 1, pp. 69-84
Persistent link: https://www.econbiz.de/10012424634