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Are the S&P 500 index and crude oil, natural gas and ethanol futures related for intra-day data?
Caporin, Massimiliano; Chang, Chia-Lin; McAleer, Michael - In: International review of economics & finance : IREF 59 (2019), pp. 50-70
Persistent link: https://www.econbiz.de/10012202481
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Unified discrete-time and continuous-time models and statistical inferences for merged low-frequency and high-frequency financial data
Kim, Donggyu; Wang, Yazhen - In: Journal of econometrics 194 (2016) 2, pp. 220-230
Persistent link: https://www.econbiz.de/10011705111
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Adaptive thresholding for large volatility matrix estimation based on high-frequency financial data
Kim, Donggyu; Kong, Xin-Bing; Li, Cui-Xia; Wang, Yazhen - In: Journal of econometrics 203 (2018) 1, pp. 69-79
Persistent link: https://www.econbiz.de/10011974617
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Volatility spillovers from Australia's major trading partners across the GFC
Allen, David E.; McAleer, Michael; Powell, Robert; … - In: International review of economics & finance : IREF 47 (2017), pp. 159-175
Persistent link: https://www.econbiz.de/10011740133