Narrow search
Showing 1 - 10 of 16,621
Cover Image
Filtration enlargement-based time series forecast in view of insider trading
Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140
Persistent link: https://www.econbiz.de/10014287808
Cover Image
Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …
Persistent link: https://www.econbiz.de/10003738658
Cover Image
On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of empirical finance 19 (2012) 2, pp. 282-291
Persistent link: https://www.econbiz.de/10009615704
Cover Image
Classification of flash crashes using the Hawkes(p,q) framework
Wehrli, Alexander; Sornette, Didier - 2020
Persistent link: https://www.econbiz.de/10012419619
Cover Image
A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
Cover Image
From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...
Persistent link: https://www.econbiz.de/10012249756
Cover Image
Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump …
Persistent link: https://www.econbiz.de/10012063222
Cover Image
Is the diurnal pattern sufficient to explain intraday variation in volatility? : a nonparametric assessment
Christensen, Kim; Hounyo, Ulrich; Podolskij, Mark - In: Journal of econometrics 205 (2018) 2, pp. 336-362
Persistent link: https://www.econbiz.de/10012110287
Cover Image
Quantifying volatility clustering in financial time series
Tseng, Jie-jun; Li, Sai-ping - In: International review of financial analysis 23 (2012), pp. 11-19
Persistent link: https://www.econbiz.de/10009690145
Cover Image
Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687