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Modelling the buy and sell intensity in a limit order book market

Hall, Anthony D.; Hautsch, Nikolaus - In: Journal of financial markets 10 (2007) 3, pp. 249-286

Persistent link: https://www.econbiz.de/10003612991

A continuous-time measurement of the buy-sell pressure in a limit order book market

Hall, Anthony D.; Hautsch, Nikolaus - 2004

Persistent link: https://www.econbiz.de/10002253924

A continuous-time measurement of the buy-sell pressure in a limit order book market

Hall, Anthony D. (contributor); … - 2004

Persistent link: https://www.econbiz.de/10001984297

Modelling the term structure

Pagan, Adrian R. - 1995 - Rev.

Persistent link: https://www.econbiz.de/10000560752

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10003909174