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A causality-in-variance test and its application to financial market prices

Cheung, Yin-Wong - In: Journal of econometrics 72 (1996) 1, pp. 33-48

Persistent link: https://www.econbiz.de/10001198033

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 209 (2019) 2, pp. 289-337

Persistent link: https://www.econbiz.de/10012302598

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …

Persistent link: https://www.econbiz.de/10003893144

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …

Persistent link: https://www.econbiz.de/10003909174

Local parametric analysis of derivatives pricing and hedging

Bossaerts, Peter L.; Hillion, Pierre Henri - 1997

Persistent link: https://www.econbiz.de/10000980780

Local parametric analysis of derivatives pricing and hedging

Bossaerts, Peter L.; Hillion, Pierre Henri - In: Journal of financial markets 6 (2003) 4, pp. 573-605

Persistent link: https://www.econbiz.de/10001780139

Semiparametric (distribution-free) testing of the expectations hypothesis in a parimutuel gambling market

Goodwin, Barry K. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 4, pp. 487-500

Persistent link: https://www.econbiz.de/10001209335

Neural networks in the capital markets : an applikation to index forecasting

Häfke, Christian; Helmenstein, Christian - 1995

Persistent link: https://www.econbiz.de/10013439115

Quasi-maximum likelihood estimation for long memory stock transaction data - under conditional heteroskedasticity framework

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; Khan, … - In: Journal of risk and financial management : JRFM 12 (2019) 2/74, pp. 1-13

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying … sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for …

Persistent link: https://www.econbiz.de/10012022130