Financial econometric analysis at ultra-high frequency: Data handling concerns (Q150349): Difference between revisions
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6 April 2009
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Property / author: Christian Brownlees / rank | |||||||||||||||
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Property / author: Giampiero M. Gallo / rank | |||||||||||||||
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Financial econometric analysis at ultra-high frequency: Data handling concerns (English) | |||||||||||||||
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Property / zbMATH Open document ID: 1157.62517 / rank | |||||||||||||||
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Property / Mathematics Subject Classification ID: 91B28 / rank | |||||||||||||||
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Property / zbMATH DE Number: 5540556 / rank | |||||||||||||||
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financial ultra high-frequency data | |||||||||||||||
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trades and quotes (TAQ) | |||||||||||||||
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Property / cites work: Econometric modelling of stock market intraday activity. / rank | |||||||||||||||
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Property / cites work: Dependence structures for multivariate high-frequency data in finance / rank | |||||||||||||||
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Property / cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data / rank | |||||||||||||||
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Latest revision as of 11:37, 1 July 2024
scientific article
Language | Label | Description | Also known as |
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English | Financial econometric analysis at ultra-high frequency: Data handling concerns |
scientific article |
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51
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4
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2232-2245
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December 2006
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6 April 2009
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Financial econometric analysis at ultra-high frequency: Data handling concerns (English)
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financial ultra high-frequency data
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outliers
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ACD modeling
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trades and quotes (TAQ)
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