Taming impulsive high-frequency data using optimal sampling periods

DOI10.1007/S10479-023-05701-YMaRDI QIDQ6491682zbMATH OpenFDO

Authors George Tzagkarakis, Frantz Maurer, John P. Nolan

Publication date 24 April 2024

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S10479-023-05701-Y

Mathematics Subject Classification ID

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

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Cites work

• A fast calibrating volatility model for option pricing
• Density parameter estimation of skewed α-stable distributions
• scientific article; zbMATH DE number 1301883 (Why is no real title available?)
• scientific article; zbMATH DE number 614990 (Why is no real title available?)
• Investment in high-frequency trading technology: a real options approach
• Modeling and Forecasting Realized Volatility
• Optimal sampling frequency for high frequency data using a finite mixture model
• Tests of Conditional Predictive Ability
• The risk premium that never was: a fair value explanation of the volatility spread
• Univariate stable distributions. Models for heavy tailed data

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