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Modeling price clustering in h...
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71
Price discovery in a continuous-time setting
Dias, Gustavo Fruet
;
Fernandes, Marcelo
;
Scherrer, …
- In:
Journal of financial econometrics
19
(
2021
)
5
,
pp. 985-1008
Persistent link: https://www.econbiz.de/10012799058
Saved in:
72
Volatility
dependences of stock markets with structural breaks
Luo, Jiawen
;
Chen, Langnan
- In:
The European journal of finance
24
(
2018
)
17
,
pp. 1727-1753
Persistent link: https://www.econbiz.de/10012259100
Saved in:
73
Forecasting covariance matrices : a mixed approach
Halbleib, Roxana
;
Voev, Valeri
- In:
Journal of financial econometrics : official journal of …
14
(
2016
)
2
,
pp. 383-417
Persistent link: https://www.econbiz.de/10011589016
Saved in:
74
Covariance forecasting in equity markets
Symitsi, Efthymia
;
Symeonidis, Lazaros
;
Kourtis, Apostolos
- In:
Journal of banking & finance
96
(
2018
),
pp. 153-168
Persistent link: https://www.econbiz.de/10011967197
Saved in:
75
Informational inefficiency of Bitcoin : a study based on high-frequency data
Zargar, Faisal Nazir
;
Kumar, Dilip
- In:
Research in international business and finance
47
(
2019
),
pp. 344-353
Persistent link: https://www.econbiz.de/10012135746
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76
Jump detection and noise separation by a singular wavelet method for predictive analytics of high-frequency data
Chen, Yi-Ting
;
Lai, Wan-Ni
;
Sun, Edward W.
- In:
Computational economics
54
(
2019
)
2
,
pp. 809-844
Persistent link: https://www.econbiz.de/10012134380
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77
The distribution of index futures realised
volatility
under seasonality and microstructure noise
Alemany, Nuria
;
Aragó, Vicent
;
Salvador, Enrique
- In:
Economic modelling
93
(
2020
),
pp. 398-414
Persistent link: https://www.econbiz.de/10012430196
Saved in:
78
Time series momentum and reversal : intraday information from realized semivariance
Liu, Zhenya
;
Lu, Shanglin
;
Li, Bo
;
Wang, Shixuan
- In:
Journal of empirical finance
72
(
2023
),
pp. 54-77
Persistent link: https://www.econbiz.de/10014476799
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79
Sluggish news reactions: a combinatorial approach for synchronizing stock jumps
Bouamara, Nabil
;
Boudt, Kris
;
Laurent, Sébastien
; …
-
2024
Persistent link: https://www.econbiz.de/10014521306
Saved in:
80
Stock co-jump networks
Ding, Yi
;
Li, Yingying
;
Liu, Guoli
;
Zheng, Xinghua
- In:
Journal of econometrics
239
(
2024
)
2
,
pp. 1-12
Persistent link: https://www.econbiz.de/10015074466
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