Pages that link to "Item:Q150349"

The following pages link to Financial econometric analysis at ultra-high frequency: Data handling concerns (Q150349):

Displaying 23 items.

• TAQMNGR (Q24243) (← links)
• Fitting a two phase threshold multiplicative error model (Q515143) (← links)
• Probabilistic forecasts of volatility and its risk premia (Q528102) (← links)
• Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (Q737896) (← links)
• Online analysis of time series by the \(Q_n\) estimator (Q961429) (← links)
• Robustness of Fourier estimator of integrated volatility in the presence of microstructure noise (Q1023629) (← links)
• A GMM procedure for combining volatility forecasts (Q1023635) (← links)
• Is the diurnal pattern sufficient to explain intraday variation in volatility? A nonparametric assessment (Q1644249) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Bootstrap based probability forecasting in multiplicative error models (Q2224997) (← links)
• Disentangling systematic and idiosyncratic dynamics in panels of volatility measures (Q2511805) (← links)
• Measuring market efficiency: the Shannon entropy of high-frequency financial time series (Q2677401) (← links)
• SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS (Q2986524) (← links)
• Volatility Estimation Based on High-Frequency Data (Q3112466) (← links)
• Construction and Visualization of Confidence Sets for Frequentist Distributional Forecasts (Q3391186) (← links)
• Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models (Q3615080) (← links)
• Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data (Q4619496) (← links)
• Modelling systemic price cojumps with Hawkes factor models (Q4683069) (← links)
• Precious metals under the microscope: a high-frequency analysis (Q4683093) (← links)
• Forecasting high-dimensional realized volatility matrices using a factor model (Q4957246) (← links)
• Multiple STL decomposition in discovering a multi-seasonality of intraday trading volume (Q5021966) (← links)
• Dynamic quantile function models (Q5039628) (← links)
• Uniform predictive inference for factor models with instrumental and idiosyncratic betas (Q6090585) (← links)