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Estimation of common factors for microstructure noise and efficient price in a high-frequency dual factor model
Li, Yu-Ning; Chen, Jia; Linton, Oliver - 2021
Persistent link: https://www.econbiz.de/10013259517
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Time-invariant restrictions of volatility functionals : efficient estimation and specification tests
Yang, Xiye - In: Journal of econometrics 215 (2020) 2, pp. 486-516
Persistent link: https://www.econbiz.de/10012439497
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Analysing the dynamic influence of US macroeconomic news releases on Turkish stock markets
Ekinci, Cumhur; Akyildirim, Erdinc; Corbet, Shaen - In: Finance research letters 31 (2019), pp. 155-164
Persistent link: https://www.econbiz.de/10012421267
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Volatility forecast of stock indices by model averaging using high-frequency data
Wang, Chengyang; Nishiyama, Yoshihiko - In: International review of economics & finance : IREF 40 (2015), pp. 324-337
Persistent link: https://www.econbiz.de/10011573818
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Foreign news and the structure of co-movement in European equity markets : an intraday analysis
Ben Omrane, Walid; Hussain, Syed Mujahid - In: Research in international business and finance 37 (2016), pp. 572-582
Persistent link: https://www.econbiz.de/10011595395
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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
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Time-varying effects of macroeconomic news on euro-dollar returns
Ben Omrane, Walid; Savaser, Tanseli; Welch, Robert L.; … - In: The North American journal of economics and finance : a … 50 (2019), pp. 1-20
Persistent link: https://www.econbiz.de/10012201385
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The influence of intraday seasonality on volatility transmission pattern
Alemany, N.; Aragó Manzana, Vicent; Salvador, E. - In: Quantitative finance 19 (2019) 7, pp. 1179-1197
Persistent link: https://www.econbiz.de/10012194754
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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476