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High-frequency data
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Economics, Finance, Business and Management
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Asymptotic optimality
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Bernstein basis function
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341by Ruilova Teran, Juan Carlos“... to analyze the arrival of heterogeneous information in high frequency data. These models, known as HARCH(*n...”
Published 2007
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342“..., so as to solve the parameter proliferation caused by high frequency data and retain more information...”
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343“... of high frequency data, we use the Realized BiPower Covariance model proposed by Barndorff-Nielsen...”
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344“... for the January–May 2020 time period on a high-frequency data set at five-minute intervals. The results reveal...”
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345“...-frequency data (daily data) were used. The analysed period is from the end of July 2010 to the end of June...”
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346“... that a simple static pairs trading strategy, still is profitable using high-frequency data. Further, our...”
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347by Yeeping Chia, Jessie J. Chiu, Po-Yu Chung, Ya-Lan Chang, Wen-Chi Lai, Yen-Chun Kuan“... induced by the earth quake doublet can be observed from high-frequency data. Obervations from multiple...”
Published 2009-01-01
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348by Kazuhiro Hada“... at lower frequencies play an important role in complementing the high-frequency data. Here, we present our...”
Published 2016-12-01
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349by Hawkes, Richard Nathanael“... components. I suggest the implementation of these for high frequency data for short and medium term...”
Published 2007
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350“.... To do this we make use of the recent literature on market risk measures for ultra-high-frequency data...”
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351“... requires enforced. The arbitration mechanism in CAN has awarded higher priority to those high frequency...”
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352“... high frequency data and tried to apply three variation GARCH-type volatility models,named GARCH,GJR...”
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353“... frequency data, Heterogeneous Autoregressive of the Realized Volatility (HAR-RV) model performs better than...”
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354“... and historical volatility using high-frequency data. The empirical evidence reveals that in the sampling...”
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355“... duration; it could not capture some information inflow when dealing with high frequency data. On the other...”
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356“... variance equation with RV. These models are used to investigate the information value of the high frequency...”
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357“..., Washington, D.C. === A high frequency data transmission system which is unaffected by high energy...”
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358“... for those investors who want to earn market returns. The article uses one-minute high frequency data...”
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359“...碩士 === 國立臺灣師範大學 === 管理研究所 === 104 === This research employs intraday high frequency data...”
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360by Klanica, Radek“... frequency data show a relatively lower level of the corruption by noise, and a subset of data acquired...”
Published 2015
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Dissertation