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Search: subject:"intraday seasonality"
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intraday seasonality
13
Volatility
6
Volatilität
6
Börsenkurs
4
Share price
4
Time series analysis
4
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4
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3
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intraday volatility
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sampling frequency
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3
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3
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3
Teis, Stefan
3
Yu, Weijun
3
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2
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2
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2
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1
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Hanken Svenska Handelshögskolan
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Wirtschafts- und Sozialwissenschaftliche Fakultät, Friedrich-Alexander-Universität Erlangen-Nürnberg
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1
Investors' net buying pressure and implied volatility dynamics
Ryu, Doojin
;
Webb, Robert I.
;
Yang, Heejin
;
Yu, Jinyoung
- In:
Borsa Istanbul Review
22
(
2022
)
4
,
pp. 627-640
and Whaley (2004) by accounting for options traders' hedging demand for futures contracts,
intraday
seasonality
, dynamic …
Persistent link: https://www.econbiz.de/10013334805
Saved in:
2
Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto
;
Nakatsuma, Teruo
- In:
Journal of Risk and Financial Management
14
(
2021
)
4
,
pp. 1-29
the leverage effect) but also a cyclical pattern of return volatility that is known as
intraday
seasonality
. In this paper … is two-fold. First, we model the
intraday
seasonality
of return volatility as a Bernstein polynomial and estimate it …
Persistent link: https://www.econbiz.de/10012611702
Saved in:
3
Bayesian analysis of intraday stochastic volatility models of high-frequency stock returns with skew heavy-tailed errors
Nakakita, Makoto
;
Nakatsuma, Teruo
- In:
Journal of risk and financial management : JRFM
14
(
2021
)
4
,
pp. 1-29
the leverage effect) but also a cyclical pattern of return volatility that is known as
intraday
seasonality
. In this paper … is two-fold. First, we model the
intraday
seasonality
of return volatility as a Bernstein polynomial and estimate it …
Persistent link: https://www.econbiz.de/10012520275
Saved in:
4
Information contents of intraday SSE 50 ETF options trades
Luo, Xingguo
;
Cai, Wenye
;
Ryu, Doojin
- In:
The journal of futures markets
42
(
2022
)
4
,
pp. 580-604
Persistent link: https://www.econbiz.de/10013187563
Saved in:
5
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:
6
China's crude oil futures : introduction and some stylized facts
Ji, Qiang
;
Zhang, Dayong
- In:
Finance research letters
28
(
2019
),
pp. 376-380
Persistent link: https://www.econbiz.de/10012388348
Saved in:
7
Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus
;
Teis, Stefan
;
Yu, Weijun
-
2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010435903
Saved in:
8
Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus
;
Teis, Stefan
;
Yu, Weijun
-
2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010442584
Saved in:
9
Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus
;
Teis, Stefan
;
Yu, Weijun
-
Wirtschafts- und Sozialwissenschaftliche Fakultät, …
-
2014
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10011099957
Saved in:
10
Intraday
Seasonality
in Analysis of UHF Financial Data: Models and Their Empirical Verification
Huptas, Roman
- In:
Dynamic Econometric Models
9
(
2009
),
pp. 128-138
present estimation methods of
intraday
seasonality
of trading activity. Ultra-high-frequency financial data (transactions data …
Persistent link: https://www.econbiz.de/10009001680
Saved in:
1
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