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Volatility estimation and forecasts based on price durations

Hong, Seok Young; Nolte, Ingmar; Taylor, Stephen; Zhao, … - In: Journal of financial econometrics 21 (2023) 1, pp. 106-144

Persistent link: https://www.econbiz.de/10013542852

Volatility measurement with pockets of extreme return persistence

Andersen, Torben; Li, Yingying; Todorov, Viktor; Zhou, Bo - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27

Persistent link: https://www.econbiz.de/10014471793

Statistical inference of spot correlation and spot market beta under infinite variation jumps

Liu, Qiang; Liu, Zhi - In: Journal of financial econometrics 20 (2022) 4, pp. 612-654

Persistent link: https://www.econbiz.de/10013349148

Incorporating weekend information in stock prices : evidence from Israeli stock market

Kudryavtsev, Andrey; Cohen, Gil; Pavlodsky, Julia - In: Journal of finance and investment analysis 1 (2012) 4, pp. 1-14

In present study, we contribute to the discussion on international stock market correlations, by analyzing interdependencies between stock returns in US and Israeli stock exchanges. In particular, we concentrate on the original feature of Tel Aviv Stock Exchange (TASE) where the trading week...

Persistent link: https://www.econbiz.de/10009745503

A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns

Huang, Yisu; Ma, Feng; Bouri, Elie; Huang, Dengshi - In: International review of financial analysis 87 (2023), pp. 1-13

Persistent link: https://www.econbiz.de/10014460616

The leverage effect puzzle : disentangling sources of bias at high frequency

Aït-Sahalia, Yacine; Fan, Jianqing; Li, Yingying - In: Journal of financial economics 109 (2013) 1, pp. 224-249

Persistent link: https://www.econbiz.de/10009765821

Robust estimation and inference for jumps in noisy high frequency data : a local-to-continuity theory for the pre-averaging method

Li, Jia - In: Econometrica : journal of the Econometric Society, an … 81 (2013) 4, pp. 1673-1693

Persistent link: https://www.econbiz.de/10009793469

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

A noise-robust estimator of volatility based on interquantile ranges

Yeh, Jin-huei; Wang, Jying-Nan; Kuan, Chung-ming - In: Review of quantitative finance and accounting 43 (2014) 4, pp. 751-779

Persistent link: https://www.econbiz.de/10010490993

Analysis of high frequency data in finance: a survey

Jiang, George J.; Pan, Guanzhong - In: Frontiers of economics in China : selected publications … 15 (2020) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10012670616

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