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Inferring trade directions in fast markets

Jurkatis, Simon Willi - 2020

Persistent link: https://www.econbiz.de/10012597973

Inferring trade directions in fast markets

Jurkatis, Simon Willi - In: Journal of financial markets 58 (2022), pp. 1-22

Persistent link: https://www.econbiz.de/10013254020

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...

Persistent link: https://www.econbiz.de/10013128339

Single- and multiplayer trade execution strategies under transient price impact

Strehle, Elias - 2017

Persistent link: https://www.econbiz.de/10012197703

Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence … ; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory …