Extracting information from mega‐panels and high‐frequency data

DOI10.1111/1467-9574.00084MaRDI QIDQ4259383zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

outlierstime serieslarge data setslimit theory

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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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

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