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~type_genre:"Aufsatz in Zeitschrift"
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Search: subject:"Ultra-high frequency data"
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Ultra-high-frequency data
6
Volatility
5
Börsenkurs
4
Market microstructure
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4
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4
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ultra-high frequency data
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Aktienmarkt
1
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Ibrahim, Boulis Maher
2
Kalaitzoglou, Iordanis
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1
Centanni, Silvia
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Dai, Wei
1
Fan, Jianqing
1
Hmaied, Dorra Mezzez
1
Holý, Vladimír
1
Imerman, Michael B.
1
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Lee, Kyungsub
1
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1
Liu, Zhi
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Minozzo, Marco
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Mitra, Subrata Kumar
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1
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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ECONIS (ZBW)
11
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1
Streaming approach to quadratic covariation estimation using financial
ultra-high-frequency
data
Holý, Vladimír
;
Tomanová, Petra
- In:
Computational economics
62
(
2023
)
1
,
pp. 463-485
Persistent link: https://www.econbiz.de/10014327571
Saved in:
2
Intraday option price changes and net buying pressure
Ryu, Doojin
;
Yang, Heejin
- In:
Applied economics letters
29
(
2022
)
4
,
pp. 292-297
Persistent link: https://www.econbiz.de/10012803523
Saved in:
3
An examination of the NASDAQ 100 futures contract using
ultra
high
frequency
data
Abid, Fathi
;
Trabelsi, Lotfi
- In:
Journal of business and finance
1
(
2013
)
1
,
pp. 27-37
Persistent link: https://www.econbiz.de/10010201753
Saved in:
4
Jumps at ultra-high frequency : evidence from the Chinese stock market
Zhang, Chuanhai
;
Liu, Zhi
;
Liu, Qiang
- In:
Pacific-Basin finance journal
68
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013332776
Saved in:
5
A deep dive : does big data improve maturity in the developed capital markets?
Singh, Rajesh Kumar
;
Mitra, Subrata Kumar
- In:
Theoretical economics letters
9
(
2019
)
1
,
pp. 60-74
Persistent link: https://www.econbiz.de/10012005237
Saved in:
6
Trading intensity and the volume-volatility relationship on the Tunis Stock Exchange
Karaa, Rabaa
;
Slim, Skander
;
Hmaied, Dorra Mezzez
- In:
Research in international business and finance
44
(
2018
),
pp. 88-99
Persistent link: https://www.econbiz.de/10011983015
Saved in:
7
Marked Hawkes process modeling of price dynamics and volatility estimation
Lee, Kyungsub
;
Seo, Byoung Ki
- In:
Journal of empirical finance
40
(
2017
),
pp. 174-200
Persistent link: https://www.econbiz.de/10011745018
Saved in:
8
Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks
Centanni, Silvia
;
Minozzo, Marco
- In:
International journal of theoretical and applied finance
15
(
2012
)
3
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009624500
Saved in:
9
What does the volatility risk premium say about liquidity provision and demand for hedging tail risk?
Fan, Jianqing
;
Imerman, Michael B.
;
Dai, Wei
- In:
Journal of business & economic statistics : JBES ; a …
34
(
2016
)
4
,
pp. 519-535
Persistent link: https://www.econbiz.de/10011692397
Saved in:
10
Does order flow in the European Carbon Futures Market reveal information?
Kalaitzoglou, Iordanis
;
Ibrahim, Boulis Maher
- In:
Journal of financial markets
16
(
2013
)
3
,
pp. 604-635
Persistent link: https://www.econbiz.de/10010348516
Saved in:
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