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Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, Uta - In: Applied quantitative finance, (pp. 275-293). 2009

Persistent link: https://www.econbiz.de/10003746412

Measuring and modeling risk using high-frequency data

Härdle, Wolfgang; Hautsch, Nikolaus; Pigorsch, U. - In: Applied quantitative finance, (pp. 279-294). 2017

Persistent link: https://www.econbiz.de/10011794967

Limit order book dynamics and asset liquidity

Pristas, Georg - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003754583

Price dynamics and market liquidity : an intraday event study on Euronext

Mazza, Paolo - In: The quarterly review of economics and finance : journal … 56 (2015), pp. 139-153

Persistent link: https://www.econbiz.de/10011574367

Trade clustering and power laws in financial markets

Nirei, Makoto; Stachurski, John; Watanabe, Tsutomu - In: Theoretical economics : TE ; an open access journal in … 15 (2020) 4, pp. 1365-1398

This study provides an explanation for the emergence of power laws in asset trading volume and returns. We consider a two-state model with binary actions, where traders infer other traders' private signals regarding the value of an asset from their actions and adjust their own behavior...

Persistent link: https://www.econbiz.de/10012415412

The leverage effect puzzle under semi-nonparametric stochastic volatility models

Chen, Dachuan; Li, Chenxu; Tang, Cheng Yong; Yan, Jun - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 2, pp. 548-562

Persistent link: https://www.econbiz.de/10015053427

Topics in empirical market microstructure : measuring the informational content of order flow

Wünsche, Oliver - 2010

Persistent link: https://www.econbiz.de/10008669012

Estimating spot volatility with high-frequency financial data

Zu, Yang; Boswijk, Herman Peter - In: Journal of econometrics 181 (2014) 2, pp. 117-135

Persistent link: https://www.econbiz.de/10010473332

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Estimation of spot volatility with superposed noisy data

Liu, Qiang; Liu, Yiqi; Liu, Zhi; Wang, Li - In: The North American journal of economics and finance : a … 44 (2018), pp. 62-79

Persistent link: https://www.econbiz.de/10012036296