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~institution:"Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)"
~institution:"Econometric Society"
~institution:"Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam."
~subject:"High Frequency Data"
~subject:"High frequency data"
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High Frequency Data
High frequency data
high-frequency data
4
interest rate surprises
2
realized volatility
2
Characteristic Function
1
Compound Poisson Process
1
Duration model
1
Federal funds target rate
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High-Frequency Data
1
Instantaneous volatility
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Integrated Variance
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Market Microstructure
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Mincer-Zarnowitz regressions
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OU Process
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Optimal Sampling
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Realized Variance Bias
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VaR
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causality measures
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commodity prices
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exchange rates
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factor analysis
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financial markets
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integrated volatility
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large data sets
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measurement errors
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model instability
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model-free adjustment procedures
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monetary announcements
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monetary policy announcements
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multi-horizon causality
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spurious causality
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stock prices
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stock return predictability
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structural breaks
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time series forecasting
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Morimoto, Takayuki
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Oomen, Roel C.A.
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Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Econometric Society
Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
School of Economics and Management, University of Aarhus
11
School of Economics and Political Science, Universität St. Gallen
5
Dipartimento di Economia, Università Ca' Foscari Venezia
3
Society for Computational Economics - SCE
3
Center for Financial Studies
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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DIW Berlin (Deutsches Institut für Wirtschaftsforschung)
2
Department of Economics, European University Institute
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EconWPA
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Grupo de Estudos Monetários e Financeiros (GEMF), Faculdade de Economia
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
2
Vilnius University
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Abteilung "Marktprozesse und Steuerung", Wissenschaftszentrum Berlin für Sozialforschung (WZB)
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Center for Economic and Financial Research (CEFIR), New Economic School (NES)
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Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti", Università degli Studi di Firenze
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European Central Bank
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HAL
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Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
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Suntory and Toyota International Centres for Economics and Related Disciplines, LSE
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Université Paris-Dauphine (Paris IX)
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Zentrum für Finanzen und Ökonometrie, Fachbereich Wirtschaftswissenschaften
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Econometric Society 2004 Far Eastern Meetings
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1
Statistical Models for High Frequency Security Prices
Oomen, Roel C.A.
-
Econometric Society
-
2004
actual
high
frequency
data
suggests that the proposed models are sufficiently flexible to capture a number of salient …
Persistent link: https://www.econbiz.de/10005063597
Saved in:
2
Estimating and forecasting instantaneous volatility through a duration model : An assessment based on VaR
Morimoto, Takayuki
-
Econometric Society
-
2004
, Laplace, are well fitted to the actual
high
frequency
data
listed on the Tokyo stock exchange 1st section from 4 Jan. 2001 to …
Persistent link: https://www.econbiz.de/10005702699
Saved in:
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