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1
Volatility model applications in China's SSE50 options market
Chi, Yeguang
;
Hao, Wenyan
;
Zhang, Yifei
- In:
The journal of futures markets
42
(
2022
)
9
,
pp. 1704-1720
Persistent link: https://www.econbiz.de/10013465807
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2
Volatility models for cryptocurrencies and applications in the options market
Chi, Yeguang
;
Hao, Wenyan
- In:
Journal of international financial markets, …
75
(
2021
),
pp. 1-19
Persistent link: https://www.econbiz.de/10012820318
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3
Robust estimation of intraweek periodicity in volatility and jump detection
Boudt, Kris
;
Croux, Christophe
;
Laurent, Sébastien
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 353-367
Persistent link: https://www.econbiz.de/10009301110
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4
A slightly depressing jump model : intraday volatility pattern simulation
Khashanah, Khaldoun
;
Chen, Jing
;
Hawkes, Alan
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 213-224
Persistent link: https://www.econbiz.de/10011905864
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5
Modelling illiquidity spillovers with Hawkes processes : an application to the sovereign bond market
Schneider, Michael
;
Lillo, Fabrizio
;
Pelizzon, Loriana
- In:
Quantitative finance
18
(
2018
)
2
,
pp. 283-293
Persistent link: https://www.econbiz.de/10011906340
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6
The information content of analysts' recommendations revisited
Bradley, Daniel
;
Clarke, Jonathan E.
;
Lee, Suzanne
; …
- In:
Journal of investment management : JOIM
14
(
2016
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10011691264
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7
Identifying events in financial time series : a new approach with bipower variation
Andor, György
;
Bohák, András
- In:
Finance research letters
22
(
2017
),
pp. 42-48
Persistent link: https://www.econbiz.de/10011807956
Saved in:
8
Modeling jumps and volatility of the indian stock market using high-frequency data
Sen, Rituparna
;
Mehrotra, Pulkit
- In:
Journal of quantitative economics
14
(
2016
)
1
,
pp. 137-150
Persistent link: https://www.econbiz.de/10012418200
Saved in:
9
The effect of intraday periodicity on realized volatility measures
Dette, Holger
;
Golosnoy, Vasyl
;
Kellermann, Janosch
-
2016
Persistent link: https://www.econbiz.de/10012388669
Saved in:
10
Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting
;
Lai, Wan Ni
;
Sun, Edward W.
- In:
Computational economics
54
(
2019
)
2
,
pp. 809-844
Persistent link: https://www.econbiz.de/10012134380
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