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~isPartOf:"Journal of Econometrics"
~isPartOf:"Journal of empirical finance"
~isPartOf:"Les cahiers du GERAD"
~isPartOf:"Working Paper"
~subject:"Behavioural finance"
~subject:"Jumps"
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Search: subject:"High-Frequency Data"
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Behavioural finance
Jumps
High-frequency data
11
Volatilität
11
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Börsenkurs
7
Share price
7
high-frequency data
7
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High frequency data
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Alexeev, Vitali
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1
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Journal of Econometrics
Journal of empirical finance
Les cahiers du GERAD
Working Paper
Journal of econometrics
6
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
4
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ECONIS (ZBW)
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1
Fast and furious : a high-frequency analysis of Robinhood users' trading behavior
Ardia, David
;
Aymard, Clément
;
Cenesizoglu, Tolga
-
2023
Persistent link: https://www.econbiz.de/10014443098
Saved in:
2
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:
3
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:
4
Jump tails, extreme dependencies, and the distribution of stock returns
Bollerslev, Tim
;
Todorov, Viktor
;
Li, Sophia Zhengzi
- In:
Journal of Econometrics
172
(
2013
)
2
,
pp. 307-324
, and show how the jump tail dependencies deduced from the
high-frequency
data
together with the day-to-day variation in the …
Persistent link: https://www.econbiz.de/10011052337
Saved in:
5
When machines read the news : using automated text analytics to quantify high frequency news-implied market reactions
Groß-Klußmann, Axel
;
Hautsch, Nikolaus
- In:
Journal of empirical finance
18
(
2011
)
2
,
pp. 321-340
Persistent link: https://www.econbiz.de/10009301114
Saved in:
6
The economic value of volatility timing with realized jumps
Nolte, Ingmar
;
Xu, Qi
- In:
Journal of empirical finance
34
(
2015
),
pp. 45-59
Persistent link: https://www.econbiz.de/10011556992
Saved in:
7
Jumps in equilibrium prices and market microstructure noise
Lee, Suzanne S.
;
Mykland, Per A.
- In:
Journal of Econometrics
168
(
2012
)
2
,
pp. 396-406
, we study how to tell apart large shifts in equilibrium prices from noise using
high
frequency
data
. We propose a new …
Persistent link: https://www.econbiz.de/10010574085
Saved in:
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