Financial econometric analysis at ultra-high frequency: Data handling concerns
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Cites work
Cited in
(29)- Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models
- New HEAVY Models for Fat-Tailed Realized Covariances and Returns
- Volatility estimation based on high-frequency data
- Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume
- Extracting information from mega‐panels and high‐frequency data
- Estimating the integrated volatility using high-frequency data with zero durations
- Specification tests for multiplicative error models
- Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise
- Dynamic quantile function models
- Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
- Bootstrap based probability forecasting in multiplicative error models
- scientific article; zbMATH DE number 6324332 (Why is no real title available?)
- Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
- TAQMNGR
- Capturing measurement error bias in volatility forecasting by realized GARCH models
- Detecting states of distress in financial markets: the case of the Italian sovereign debt
- Disentangling systematic and idiosyncratic dynamics in panels of volatility measures
- Dynamic Discrete Mixtures for High-Frequency Prices
- Forecasting high-dimensional realized volatility matrices using a factor model
- A GMM procedure for combining volatility forecasts
- Measuring market efficiency: the Shannon entropy of high-frequency financial time series
- Modelling systemic price cojumps with Hawkes factor models
- 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
- Precious metals under the microscope: a high-frequency analysis
- Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts
- Online analysis of time series by the \(Q_n\) estimator
- Fitting a two phase threshold multiplicative error model
- Probabilistic forecasts of volatility and its risk premia
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