high-frequency data
High Frequency Data Analysis
... at data management from a trader’s perspective, then a decade ago many practitioners were content with analysing end of day historic data for strategy back-testing and instrument pricing ...intraday ...
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Bootstrapping high frequency data
... of high frequency data litera- ture often assumed a local constancy of volatility and the Gaussianity properties of high frequency returns in order to carry out ...financial high ...
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Empirical likelihood for high frequency data
... of high frequency data analysis, and discuss its general first-order asymptotic properties and some advantages compared to the existing inference ...real data example, ...
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Margin setting with high-frequency data
... with high-frequency data 1 John Cotter 2 and François Longin 3 Abstract Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use ...
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Margin setting with high frequency data
... with high-frequency data 1 John Cotter 2 and François Longin 3 Abstract Both in practice and in the academic literature, models for setting margin requirements in futures markets classically use ...
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Estimation of quarticity based on high frequency data
... of high frequency data sets used for calculations and cleaning procedures that were applied to eliminate initially error values together with outliers that could possibly distort further ...
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Forecasting Volatility using High Frequency Data
... Careful data cleaning is one of the most important aspects of volatility estimation from high-frequency ...all data will typically put high weight on accurate data and be less ...
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Bivariate Volatility Modeling with High-Frequency Data
... and Data Sciences, ESADE Business School, Ramon Llull University, E-08172 Sant Cugat, Spain; ...with high-frequency data in a realized generalized autoregressive conditional heteroskedasticity ...
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Inference for Multi-Dimensional High-Frequency Data
... such high frequencies magnifies the appeal of asset price models grounded on continuous-time stochastic pro- cesses which are a cornerstone of financial modeling since the seminal works by Black & Scholes ...
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Portfolio Investment Modeling Using High Frequency Data
... historical data in order to facilitate scenario making required for short term ...historical data and this is insufficient for constructing a sample PDF for this ...price data is partly because of ...
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ESTIMATING THE DEGREE OF ACTIVITY OF JUMPS IN HIGH FREQUENCY DATA
... Using high frequency financial data, which are now widely available, we can hope to answer a number of questions regarding the characteris- tics of the process that drives asset ...of high ...
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Garch Parameter Estimation Using High Frequency Data
... intraday high-frequency data at first ...process. High-frequency data are accordingly used to estimate the daily increment in the quadratic ...
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Jumps in High Frequency Data on the Chinese Stock Market
... higher frequency, largely be- cause of the immaturity of the market, which is currently in a phase of emer- gence and transition, exhibiting notable “policy market”, temporal, and oppor- tunistic ...of high ...
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Structure Learning and Break Detection in High-Frequency Data
... the high-frequency data possess unique features such as microstruc- ture noise, we first processed the data using the same method as in Zou, An, and Yan ...
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Measuring and Modeling Risk Using High-Frequency Data
... of high-frequency data allows for refined methods in this ...lower frequency volatility can be obtained by summing over squared high-frequency re- ...using ...
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Essays on estimation and inference for volatility with high frequency data
... cess and allows the measurement error process to have diurnal heteroskedasticity. A modification of the TSRV estim ator of quadratic variation is proposed and asymptotic distribution derived. Financial econometrics ...
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Measuring causality between volatility and returns with high-frequency data
... hourly data and a strong dynamic leverage effect for the first three days in daily ...using high-frequency data and realized volatil- ity ...
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Multiscale Inference for High-Frequency Data
... and high frequency properties of the data in the frequency ...the frequency domain, as convolutions in time are multiplications in ...
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Equity portfolio diversification with high frequency data
... Figure 3 shows that there is considerable departure in the estimated numbers of stocks with different frequencies through time. In the earlier part of the sample, up until the second quarter of 2007, the disparities are ...
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The merit of high-frequency data in portfolio allocation
... This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 ...
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