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Modeling jumps and volatility of the indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10012418200

The information content of analysts' recommendations revisited

Bradley, Daniel; Clarke, Jonathan E.; Lee, Suzanne; … - In: Journal of investment management : JOIM 14 (2016) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10011691264

A slightly depressing jump model : intraday volatility pattern simulation

Khashanah, Khaldoun; Chen, Jing; Hawkes, Alan - In: Quantitative finance 18 (2018) 2, pp. 213-224

Persistent link: https://www.econbiz.de/10011905864

Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data

Chen, Yi-Ting; Lai, Wan-Ni; Sun, Edward W. - In: Computational economics 54 (2019) 2, pp. 809-844

Persistent link: https://www.econbiz.de/10012134380

Modeling jumps and volatility of the Indian stock market using high-frequency data

Sen, Rituparna; Mehrotra, Pulkit - In: Journal of quantitative economics : official journal of … 14 (2016) 1, pp. 137-150

Persistent link: https://www.econbiz.de/10011639870

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

An automatic bias correction procedure for volatility estimation using extreme values of asset prices

Maheswaran, S.; Kumar, Dilip - In: Economic modelling 33 (2013), pp. 701-712

Persistent link: https://www.econbiz.de/10010194420

Volatility estimation on the basis of price intensities

Gerhard, Frank; Hautsch, Nikolaus - 1999

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

Persistent link: https://www.econbiz.de/10011543683

A reflection principle for a random walk with implications for volatility estimation using extreme values of asset prices

Kumar, Dilip; Maheswaran, S. - In: Economic modelling 38 (2014), pp. 33-44

Persistent link: https://www.econbiz.de/10010418224

Initial margin model sensitivity analysis and volatility estimation

Houllier, Melanie; Murphy, David - In: The journal of financial market infrastructures 5 (2017) 4, pp. 77-103

Persistent link: https://www.econbiz.de/10011729235

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