Extracting information from mega‐panels and high‐frequency data
From MaRDI portal
Publication:4259383
DOI10.1111/1467-9574.00084zbMATH Open0924.62122OpenAlexW1967412064MaRDI QIDQ4259383FDOQ4259383
Authors: Clive W. J. Granger 
Publication date: 9 November 1999
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: http://www.escholarship.org/uc/item/17t2d9n6
Recommendations
- Separating information maximum likelihood method for high-frequency financial data
- Financial econometric analysis at ultra-high frequency: Data handling concerns
- Principal Component Analysis of High-Frequency Data
- Econometrics of financial high-frequency data
- The econometrics of high-frequency data
- Inference from high-frequency data: a subsampling approach
- The Econometrics of Ultra-high-frequency Data
- Using High-Frequency Data in Dynamic Portfolio Choice
Cited In (5)
- On modeling panels of time series
- Predictors for high frequency signals based on rational polynomial approximation of periodic exponentials
- Severe testing of Benford's law
- Durations, volume and the prediction of financial returns in transaction time
- A flexible predictive density combination for large financial data sets in regular and crisis periods
This page was built for publication: Extracting information from mega‐panels and high‐frequency data
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4259383)
