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A new model for forecasting VaR and ES using intraday returns aggregation
Song, Shijia; Li, Handong - In: Journal of forecasting 42 (2023) 5, pp. 1039-1054
Persistent link: https://www.econbiz.de/10014338800
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A dynamic intraday measure of the probability of informed trading and firm-specific return variation
Chang, Sanders S.; Chang, Lenisa V.; Wang, F. Albert - In: Journal of empirical finance 29 (2014), pp. 80-94
Persistent link: https://www.econbiz.de/10011300503
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Forecasting high-dimensional realized volatility matrices using a factor model
Shen, Keren; Yao, Jianfeng; Li, Wai Keung - In: Quantitative finance 20 (2020) 11, pp. 1879-1887
Persistent link: https://www.econbiz.de/10012295649
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A jump and smile ride : jump and variance risk premia in option pricing
Alitab, Dario; Bormetti, Giacomo; Corsi, Fulvio; … - In: Journal of financial econometrics 18 (2020) 1, pp. 121-157
Persistent link: https://www.econbiz.de/10012180409
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The intraday dynamics of Bitcoin
Eross, Andrea; McGroarty, Frank; Urquhart, Andrew; … - In: Research in international business and finance 49 (2019), pp. 71-81
Persistent link: https://www.econbiz.de/10012135993
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LASSO-based high-frequency return predictors for profitable Bitcoin investment
Huang, Weige; Gao, Xiang - In: Applied economics letters 29 (2022) 12, pp. 1079-1083
Persistent link: https://www.econbiz.de/10013412041
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Pervasive underreaction : evidence from high-frequency data
Jiang, Hao; Li, Sophia Zhengzi; Wang, Hao - In: Journal of financial economics 141 (2021) 2, pp. 573-599
Persistent link: https://www.econbiz.de/10013259814
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Inflation, capital structure and firm value
Fabiani, Andrea; Piersanti, Fabio Massimo - 2023
Persistent link: https://www.econbiz.de/10014484475
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The impact of a financial transaction tax on stylized facts of price returns : evidence from the lab
Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1248-1266
Persistent link: https://www.econbiz.de/10009655683
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Non-linear volatility and dynamics of the Tunisian stock market
Lamia, Kalai; Faouzi, Jilani - In: International journal of economics, finance and … 2 (2014) 1, pp. 22-32
Persistent link: https://www.econbiz.de/10010382144