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Consistent high-precision volatility from high-frequency data
Corsi, Fulvio (contributor) - In: Economic notes : economic review of Banca Monte dei … 30 (2001) 2, pp. 183-204
Persistent link: https://www.econbiz.de/10001603712
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Artificial market experiments with the U-Mart system
Shiozawa, Yoshinori (ed.); Nakajima, Yoshihiro (ed.);  … - 2008 - 1. Ed.
Persistent link: https://www.econbiz.de/10003557323
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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
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Artificial Market Experiments with the U-Mart System
Shiozawa, Yoshinori - 2008
Persistent link: https://www.econbiz.de/10013521078
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Verteilungsprognose für den Deutschen Aktienindex : Einsatz neuronaler Netze
Baun, Susanne - 1997
Persistent link: https://www.econbiz.de/10000956636
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An index of co-movements in financial time series
Sentana, Enrique; Shah, Mushtaq - 1994
Persistent link: https://www.econbiz.de/10000893176
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Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
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Background indicators
Raunig, Burkhard - In: Econometrics : open access journal 7 (2019) 2/20, pp. 1-17
It is customary to assume that an indicator of a latent variable is driven by the latent variable and some random noise. In contrast, a background indicator is also systematically influenced by variables outside the structural model of interest. Background indicators deserve attention because in...
Persistent link: https://www.econbiz.de/10012025817
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Realizing the extremes : estimation of tail-risk measures from a high-frequency perspective
Bee, Marco; Dupuis, Debbie J.; Trapin, Luca - In: Journal of empirical finance 36 (2016), pp. 86-99
Persistent link: https://www.econbiz.de/10011662757
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ARCH-Prozesse und ihre Erweiterungen : eine empirische Untersuchung für Finanzmarktzeitreihen
Jacobi, Frank (contributor) - 2005
The volatility clustering observed in financial market data implies that large net yield shocks increase the … probability of a higher future volatility during the price formation. Starting from the ARCH models which were suggested by Engle …
Persistent link: https://www.econbiz.de/10002847530