Search Results - subject:"high-frequency financial data"

Which daily equity returns improve output forecasts?

Jahan-Pavar, Mohammad R.; Lang, William J. - In: Economics letters 243 (2024), pp. 1-6

Persistent link: https://www.econbiz.de/10015080391

Forecasting intraday financial time series with sieve bootstrapping and dynamic updating

Shang, Han Lin; Ji, Kaiying - In: Journal of forecasting 42 (2023) 8, pp. 1973-1988

Persistent link: https://www.econbiz.de/10014432826

State-dependent Hawkes processes and their application to limit order book modelling

Morariu-Patrichi, Maxime; Pakkanen, Mikko S. - In: Quantitative finance 22 (2022) 3, pp. 563-583

Persistent link: https://www.econbiz.de/10013167781

Robust nonparametric estimation for the volatility of financial market

Kao, Chunyu; Song, Yuping - In: International journal of financial engineering 10 (2023) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10014251158

Dynamic forecasting for nonstationary high-frequency financial data with jumps based on series decomposition and reconstruction

Song, Yuping; Li, Zhenwei; Ma, Zhiren; Sun, Xiaoyu - In: Journal of forecasting 42 (2023) 5, pp. 1055-1068

Persistent link: https://www.econbiz.de/10014338810

High-frequency stock return prediction using state-of-the-art deep learning models

Chen, Sichong - In: International journal of financial engineering 10 (2023) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10014444662

Overnight GARCH-Itô volatility models

Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227

Persistent link: https://www.econbiz.de/10014448607

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of Risk and Financial Management 13 (2020) 3, pp. 1-20

In this paper, we propose a general family of Birnbaum–Saunders autoregressive conditional duration (BS-ACD) models based on generalized Birnbaum-Saunders (GBS) distributions, denoted by GBS-ACD. We further generalize these GBS-ACD models by using a Box-Cox transformation with a shape parameter...

Persistent link: https://www.econbiz.de/10012611276

A general family of autoregressive conditional duration models applied to high-frequency financial data

Cunha, Danúbia R.; Vila, Roberto; Saulo, Helton; … - In: Journal of risk and financial management : JRFM 13 (2020) 3/45, pp. 1-20

Persistent link: https://www.econbiz.de/10012174138

Classification of flash crashes using the Hawkes(p,q) framework

Wehrli, Alexander; Sornette, Didier - In: Quantitative finance 22 (2022) 2, pp. 213-240

Persistent link: https://www.econbiz.de/10013167733