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Efficient asymptotic variance reduction when estimating volatility in high frequency data

Clinet, Simon; Potiron, Yoann - In: Journal of econometrics 206 (2018) 1, pp. 103-142

Persistent link: https://www.econbiz.de/10012110370

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 … estimates using our proposed sampling strategy provide smaller root mean-squared error. …

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

Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183

Persistent link: https://www.econbiz.de/10009754008

Co-movements of the Indian stock market

Sudhakar, Aare; Sireesha, P. Bhanu - In: GITAM journal of management : a quarterly publication … 13 (2015) 2, pp. 40-59

Persistent link: https://www.econbiz.de/10011398114

Relationship between conditional volatility of domestic macroeconomic factors and conditional stock market volatility : some further evidence from India

Kumari, Jyoti; Mahakud, Jitendra - In: Asia-Pacific financial markets 22 (2015) 1, pp. 87-111

Persistent link: https://www.econbiz.de/10010511544

Co-movements of the Indian stock market with select developed markets

Sudhakar, Aare; Sireesha, P. Bhansu - In: GITAM journal of management : a quarterly publication … 12 (2014) 4, pp. 137-156

Persistent link: https://www.econbiz.de/10011292576

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012223665

Variational Bayesian inference in large Vector Autoregressions with hierarchical shrinkage

Gefang, Deborah; Koop, Gary; Poon, Aubrey - 2019

Persistent link: https://www.econbiz.de/10012115020

Dynamic cross-autocorrelation in stock returns

Kinnunen, Jyri - In: Journal of empirical finance 40 (2017), pp. 162-173

Persistent link: https://www.econbiz.de/10011744473

Asymmetric generalized impulse responses with an application in finance

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Persistent link: https://www.econbiz.de/10010412088

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