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

DOI10.1016/J.CSDA.2006.09.030zbMATH Open1157.62517DBLPjournals/csda/BrownleesG06OpenAlexW2096566523WikidataQ60729235 ScholiaQ60729235MaRDI QIDQ150349FDOQ150349

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

Publication date: December 2006

Published in: 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

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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)

Cites Work

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

Cited In (29)

• 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
• Specification tests for multiplicative error models
• Estimating the integrated volatility using high-frequency data with zero durations
• 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
• Title not available (Why is that?)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment
• 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
• TAQMNGR
• 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
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models

Uses Software

• TAQMNGR

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