Taming impulsive high-frequency data using optimal sampling periods

DOI10.1007/S10479-023-05701-YMaRDI QIDQ6491682FDOQ6491682

Authors: George Tzagkarakis, Frantz Maurer, John P. Nolan 

Publication date: 24 April 2024

Published in: Annals of Operations Research (Search for Journal in Brave)

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Mathematics Subject Classification ID

Sampling theory, sample surveys (62D05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

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• Tests of Conditional Predictive Ability
• Modeling and Forecasting Realized Volatility
• Density parameter estimation of skewed α-stable distributions
• A fast calibrating volatility model for option pricing
• Optimal sampling frequency for high frequency data using a finite mixture model
• Univariate stable distributions. Models for heavy tailed data
• The risk premium that never was: a fair value explanation of the volatility spread
• Investment in high-frequency trading technology: a real options approach

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