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Empirical models of the intraday process of price changes and liquidity : a transaction level approach

Gerhard, Frank (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001763098

Invariance in buy-sell switching points

Bae, Kyoung-hun; Bondarenko, Oleg; Lee, Eun Jung; … - 2020

Persistent link: https://www.econbiz.de/10012494223

High-frequency cross-market trading : model free measurement and applications

Dobrev, Dobrislav; Schaumburg, Ernst - 2017 - This version: December 30, 2016

Persistent link: https://www.econbiz.de/10012805580

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, U. - In: Applied quantitative finance, (pp. 279-294). 2017

Persistent link: https://www.econbiz.de/10011794967

Wettbewerb, Liquidität und die Rolle von Intermediation im Wertpapierhandel

Freihube, Thorsten - 2004

Persistent link: https://www.econbiz.de/10002122262

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

Common price and volatility jumps in noisy high-frequency data

Bibinger, Markus; Winkelmann, Lars - 2014

We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...

Persistent link: https://www.econbiz.de/10010384595

The drift burst hypothesis

Christensen, Kim; Oomen, Roel; Renò, Roberto - In: Journal of econometrics 227 (2022) 2, pp. 461-497

Persistent link: https://www.econbiz.de/10013442150

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

Persistent link: https://www.econbiz.de/10012110287