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~isPartOf:"Economic Modelling"
~isPartOf:"Economic modelling"
~isPartOf:"Journal of Econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Working Paper"
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Search: subject:"High-Frequency Data"
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Volatility
17
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16
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16
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11
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10
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Todorov, Viktor
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Economic Modelling
Economic modelling
Journal of Econometrics
Journal of empirical finance
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47
Physica A: Statistical Mechanics and its Applications
17
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14
Quantitative finance
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Pacific-Basin finance journal
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ECONIS (ZBW)
17
RePEc
11
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1
Time series momentum and reversal : intraday information from realized semivariance
Liu, Zhenya
;
Lu, Shanglin
;
Li, Bo
;
Wang, Shixuan
- In:
Journal of empirical finance
72
(
2023
),
pp. 54-77
Persistent link: https://www.econbiz.de/10014476799
Saved in:
2
A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market
Li, Zhicheng
;
Chen, Xinyun
;
Xing, Haipeng
- In:
Economic modelling
118
(
2023
),
pp. 1-17
Persistent link: https://www.econbiz.de/10014229238
Saved in:
3
The impact of COVID-19 on commodity options market : evidence from China
Chen, Jilong
;
Xu, Liao
;
Xu, Hao
- In:
Economic modelling
116
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014513142
Saved in:
4
A near real-time economic activity tracker for the Brazilian economy during the COVID-19 pandemic
Menezes, Flávio Marques
;
Figer, Vivian
;
Jardim, Fernanda
; …
- In:
Economic modelling
112
(
2022
),
pp. 1-9
Persistent link: https://www.econbiz.de/10013349103
Saved in:
5
Market instability and technical trading at high frequency : evidence from NASDAQ stocks
Erdemlioglu, Deniz
;
Petitjean, Mikael
;
Vargas, Nicolas
- In:
Economic modelling
102
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012797344
Saved in:
6
Good and bad self-excitation : asymmetric self-exciting jumps in Bitcoin returns
Zhang, Chuanhai
;
Zhang, Zhengjun
;
Xu, Mengyu
;
Peng, Zhe
- In:
Economic modelling
119
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014249483
Saved in:
7
The distribution of index futures realised volatility under seasonality and microstructure noise
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
Economic modelling
93
(
2020
),
pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
Saved in:
8
High-dimensional covariance forecasting based on principal component analysis of
high-frequency
data
Jian, Zhihong
;
Deng, Pingjun
;
Zhu, Zhican
- In:
Economic modelling
75
(
2018
),
pp. 422-431
Persistent link: https://www.econbiz.de/10012101548
Saved in:
9
Time-varying continuous and jump betas : the role of firm characteristics and periods of stress
Alexeev, Vitali
;
Dungey, Mardi H.
;
Yao, Wenying
- In:
Journal of empirical finance
40
(
2017
),
pp. 1-19
Persistent link: https://www.econbiz.de/10011744408
Saved in:
10
A high-frequency analysis of the interactions between REIT return and volatility
Zhou, Jian
- In:
Economic modelling
56
(
2016
),
pp. 102-108
Persistent link: https://www.econbiz.de/10011646019
Saved in:
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