Financial econometric analysis at ultra-high frequency: Data handling concerns

DOI10.1016/j.csda.2006.09.030zbMath1157.62517DBLPjournals/csda/BrownleesG06OpenAlexW2096566523WikidataQ60729235 ScholiaQ60729235MaRDI QIDQ150349

G.M. Gallo, C.T. Brownlees, Giampiero M. Gallo, Christian Brownlees

Publication date: December 2006

Published in: Computational Statistics & Data Analysis, Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://local.disia.unifi.it/ricerca/pubblicazioni/working_papers/2006/wp2006_03.pdf

zbMATH Keywords

outliersACD modelingfinancial ultra high-frequency datatrades and quotes (TAQ)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (23)

Dynamic quantile function models ⋮ Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment ⋮ Measuring market efficiency: the Shannon entropy of high-frequency financial time series ⋮ Uniform predictive inference for factor models with instrumental and idiosyncratic betas ⋮ Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data ⋮ SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Estimating the integrated volatility using high-frequency data with zero durations ⋮ Fitting a two phase threshold multiplicative error model ⋮ Probabilistic forecasts of volatility and its risk premia ⋮ Online analysis of time series by the \(Q_n\) estimator ⋮ Modelling systemic price cojumps with Hawkes factor models ⋮ Precious metals under the microscope: a high-frequency analysis ⋮ Disentangling systematic and idiosyncratic dynamics in panels of volatility measures ⋮ Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models ⋮ Forecasting high-dimensional realized volatility matrices using a factor model ⋮ Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading ⋮ TAQMNGR ⋮ Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts ⋮ Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise ⋮ A GMM procedure for combining volatility forecasts ⋮ Volatility Estimation Based on High-Frequency Data ⋮ Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume

Uses Software

• TAQMNGR

Cites Work

• Econometric modelling of stock market intraday activity.
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Dependence structures for multivariate high-frequency data in finance

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