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Stock market volatility forecasting : do we need high-frequency data?

Lyócsa, Štefan; Molnár, Peter; Výrost, Tomáš - In: International journal of forecasting 37 (2021) 3, pp. 1092-1110

Persistent link: https://www.econbiz.de/10012794812

Intraday Value-at-Risk : an asymmetric autoregressive conditional duration approach

Liu, Shouwei; Tse, Yiu Kuen - In: Journal of econometrics 189 (2015) 2, pp. 437-446

Persistent link: https://www.econbiz.de/10011504612

Forecasting large covariance matrix with high-frequency data using factor approach for the correlation matrix

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 195 (2020), pp. 1-4

Persistent link: https://www.econbiz.de/10012509995

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment

Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362

Persistent link: https://www.econbiz.de/10012110287

On estimating market microstructure noise variance

Dong, Yingjie; Tse, Yiu Kuen - In: Economics letters 150 (2017), pp. 59-62

Persistent link: https://www.econbiz.de/10011762850

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility

Dong, Yingjie; Tse, Yiu Kuen - In: Econometrics : open access journal 5 (2017) 4, pp. 1-19

We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...

Persistent link: https://www.econbiz.de/10011781945

A dynamic conditional approach to portfolio weights forecasting

Cipollini, Fabrizio; Gallo, Giampiero M.; Palandri, … - 2020 - This version: May 12, 2020

Persistent link: https://www.econbiz.de/10012418423

Smooth and abrupt dynamics in financial volatility : the MS-MEM-MIDAS

Scaffidi Domianello, Luca; Gallo, Giampiero M.; … - 2022 - Prima edizione

Persistent link: https://www.econbiz.de/10014261237