Review of statistical approaches for modeling high-frequency trading data (Q6108877): Difference between revisions

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scientific article; zbMATH DE number 7705108

Language	Label	Description	Also known as
English	Review of statistical approaches for modeling high-frequency trading data	scientific article; zbMATH DE number 7705108

Statements

scholarly article

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Review of statistical approaches for modeling high-frequency trading data (English)

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Chiranjit Dutta

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Ravishanker, Nalini

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Kara J. Karpman

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Sankhyā. Series B

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publication date

30 June 2023

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zbMATH Keywords

asynchronous data

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durations

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GARCH models

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high-frequency trading data

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jumps

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volatility

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MaRDI profile type

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full work available at URL

https://doi.org/10.1007/s13571-022-00280-7

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Testing for jumps in a discretely observed process

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High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data

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Testing for jumps in noisy high frequency data

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Realized stochastic volatility with general asymmetry and long memory

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Long memory processes and fractional integration in econometrics

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Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models

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Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

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The stochastic conditional duration model: a latent variable model for the analysis of financial durations

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Efficient Covariance Estimation for Asynchronous Noisy High-Frequency Data

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Identifying Jumps in Asset Prices

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Generalized autoregressive conditional heteroscedasticity

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Regression Analysis of Count Data

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Drift in Transaction‐Level Asset Price Models

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The Variance Gamma Process and Option Pricing

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Modelling Asset Prices for Algorithmic and High-Frequency Trading

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Copula estimation for nonsynchronous financial data

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A Markov-switching multifractal inter-trade duration model, with application to US equities

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Markov chain Monte Carlo methods for stochastic volatility models.

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Multivariate Stochastic Volatility

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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

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Financial Modelling with Jump Processes

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An Introduction to the Theory of Point Processes

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Long memory in intertrade durations, counts and realized volatility of NYSE stocks

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On the network topology of variance decompositions: measuring the connectedness of financial firms

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Transform Analysis and Asset Pricing for Affine Jump-diffusions

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Hyperbolic distributions in finance

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Double Exponential Families and Their Use in Generalized Linear Regression

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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

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Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data

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Vast Volatility Matrix Estimation Using High-Frequency Data for Portfolio Selection

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A family of autoregressive conditional duration models

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Higher order elicitability and Osband's principle

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Forecasting risk via realized GARCH, incorporating the realized range

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Nested Simulation in Portfolio Risk Measurement

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Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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Multivariate Stochastic Variance Models

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Spectra of some self-exciting and mutually exciting point processes

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On covariance estimation of non-synchronously observed diffusion processes

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Econometric duration analysis

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Estimation of the lead-lag parameter from non-synchronous data

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Approaches Toward the Bayesian Estimation of the Stochastic Volatility Model with Leverage

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Portfolio selection under distributional uncertainty: a relative robust CVaR approach

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Simulation and Inference for Stochastic Processes with YUIMA

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Microstructure noise in the continuous case: the pre-averaging approach

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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

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Testing for jumps when asset prices are observed with noise -- a ``swap variance'' approach

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Survival analysis. A self-learning text.

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Econometric Methods for the Duration of Unemployment

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Intraday value-at-risk: an asymmetric autoregressive conditional duration approach

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Measuring volatility with the realized range

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Estimating value-at-risk and expected shortfall using the intraday low and range data

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Financial econometrics and big data: A survey of volatility estimators and tests for the presence of jumps and co-jumps

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Conditional Heteroskedasticity in Asset Returns: A New Approach

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Long‐Memory Time Series

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A CLOSER LOOK AT THE EPPS EFFECT

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Realized stochastic volatility with leverage and long memory

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Forecasting intraday volatility and value-at-risk with high-frequency data

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Volatility analysis with realized GARCH-Itô models

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Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration

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Estimating stochastic volatility models using daily returns and realized volatility simultaneously

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The impact of transaction duration, volume and direction on price dynamics and volatility

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MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY

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Generalized duration models and optimal estimation using estimating functions

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Analysis of Financial Time Series

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Bayesian inference on volatility in the presence of infinite jump activity and microstructure noise

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Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison

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Estimating covariation: Epps effect, microstructure noise

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Modeling financial durations using penalized estimating functions

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On Fréchet autoregressive conditional duration models

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Modeling and forecasting persistent financial durations

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Identifiers

10.1007/s13571-022-00280-7

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:6108877

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