Narrow search
Showing 91 - 100 of 274,161
Cover Image
Financial volatility modeling with option-implied information and important macro-factors
Yfanti, Stavroula; Karanasos, Menelaos - In: Journal of the Operational Research Society 73 (2022) 9, pp. 2129-2149
Persistent link: https://www.econbiz.de/10013532426
Cover Image
Hawkes-based models for high frequency financial data
Nyström, Kaj; Zhang, Changyong - In: Journal of the Operational Research Society 73 (2022) 10, pp. 2168-2185
Persistent link: https://www.econbiz.de/10013532430
Cover Image
Forecasting the realized volatility of stock markets with financial stress
Guo, Chuan; Feng, Yiyun - In: Journal of risk 25 (2022) 1, pp. 23-48
Persistent link: https://www.econbiz.de/10013549680
Cover Image
Persistence in high frequency financial data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10013419363
Cover Image
Overnight GARCH-Itô volatility models
Kim, Donggyu; Shin, Minseok; Wang, Yazhen - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1215-1227
Persistent link: https://www.econbiz.de/10014448607
Cover Image
Volatility Models for Stylized Facts of High-Frequency Financial Data
Kim, Donggyu; Shin, Minseok - 2022
This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial … data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of … the proposed volatility process has a realized GARCH structure with an asymmetric effect on log-returns. To further …
Persistent link: https://www.econbiz.de/10013405987
Cover Image
Persistence in High Frequency Financial Data
Caporale, Guglielmo Maria; Plastun, Alex - 2022
This paper investigates persistence in high-frequency, intraday data (and also daily and monthly ones) in the case of the EuroStoxx 50 futures over the period from 2002 to 2018 (720 million trade records) using R/S analysis and the Hurst exponent as a measure of persistence. The results indicate...
Persistent link: https://www.econbiz.de/10014242794
Cover Image
Hurst Dynamics of S&P500 Returns : Implications and Impact on Market Efficiency, Long Memory, Multifractality and Financial Crises Predictability
Vogl, Markus; Roetzel, Peter Gordon - 2021
In this study, we apply a rolling window approach to wavelet-filtered (denoised) S&P500 returns (2000–2020) to obtain time varying Hurst exponents. We analyse the dynamics of the Hurst exponents by applying statistical tests (e.g., for stationarity, Gaussianity and self-similarity), a...
Persistent link: https://www.econbiz.de/10013229642
Cover Image
Limit order books and trade informativeness
Beltran Lopez, Helena; Gramming, Joachim; Menkveld, … - In: The European journal of finance 18 (2012) 9/10, pp. 737-759
Persistent link: https://www.econbiz.de/10009691782
Cover Image
How aggressive are high-frequency traders?
Hagströmer, Björn; Nordén, Lars; Zhang, Dong - In: The financial review : the official publication of the … 49 (2014) 2, pp. 395-419
Persistent link: https://www.econbiz.de/10010363573