Realized volatility of index constituent stocks in Hong Kong
Keywords: داده های با فرکانس بالا; Equity markets; High-frequency data; Realized volatility; Correlation
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Co-movements of index options and futures quotes
Keywords: داده های با فرکانس بالا; G13; G14; C33Options; High-frequency data; Market Microstructure; Hedge ratio
A framework for assessing the systemic risk of major financial institutions
Keywords: داده های با فرکانس بالا; G21; G28; G14; C13; Systemic risk; Stress testing; Portfolio credit risk; Credit default swap; High-frequency data;
The role of private information in return volatility, bid-ask spreads and price levels in the foreign exchange market
Keywords: داده های با فرکانس بالا; F31; G12; G15; D4; High-frequency data; Foreign exchange; Market microstructure; Asymmetric information; Order-driven;
Power variation for Gaussian processes with stationary increments
Keywords: داده های با فرکانس بالا; primary, 60G15, 60F17; secondary, 62G20Central limit theorem; Chaos expansion; Gaussian processes; High-frequency data; Multiple Wiener–Itô integrals; Power variation
What drives volatility persistence in the foreign exchange market?
Keywords: داده های با فرکانس بالا; C22; F31; G12Volatility persistence; High-frequency data; Realized volatility; Long memory; Exchange rates
The response of global equity indexes to U.S. monetary policy announcements
Keywords: داده های با فرکانس بالا; E44; E52; G14; G15; Monetary policy announcements; International stock markets; High-frequency data;
Bipower-type estimation in a noisy diffusion setting
Keywords: داده های با فرکانس بالا; Bipower variation; Central limit theorem; High-frequency data; Microstructure noise; Quadratic variation; Semimartingale theory; Test for jumps
A note on the central limit theorem for bipower variation of general functions
Keywords: داده های با فرکانس بالا; 60F05; 60G44; 60H05Bipower variation; Central limit theorem; Diffusion models; High-frequency data; Semimartingale theory
A common factor analysis for the US and the German stock markets during overlapping trading hours
Keywords: داده های با فرکانس بالا; C32; G15; Stock market cointegration; High-frequency data; Permanent-transitory decomposition;
Order flow and exchange rate dynamics in electronic brokerage system data
Keywords: داده های با فرکانس بالا; Order flow; Foreign exchange; High-frequency data; News announcements; Micro exchange rate economics; Private informationF31; G14
Risk, jumps, and diversification
Keywords: داده های با فرکانس بالا; C12; C22; C32; G12; G14; Jump-diffusions; Stock returns; Diversification; Tests for jumps; Cojumps; High-frequency data; Bipower variation;
Informational linkages across trading regions: Evidence from foreign exchange markets
Keywords: داده های با فرکانس بالا; F31; G15Exchange rate; Volatility; Trading activity; Trading volume; Order flow; High-frequency data
The U.S. Treasury yield curve: 1961 to the present
Keywords: داده های با فرکانس بالا; G12; E43; Yield curve; Treasury market; On the run premia; High-frequency data;
Were verbal efforts to support the euro effective? A high-frequency analysis of ECB statements
Keywords: داده های با فرکانس بالا; E58; F31; C14; Verbal intervention; Euro-dollar exchange rate; High-frequency data; ECB; Event study;
Macroeconomic news and exchange rates
Keywords: داده های با فرکانس بالا; F 31; Exchange rates; High-frequency data; Economic news;
Real-time price discovery in global stock, bond and foreign exchange markets
Keywords: داده های با فرکانس بالا; Asset pricing; Macroeconomic news announcements; Financial market linkages; Market microstructure; High-frequency data; Survey data; Asset return volatility; Forecasting; F3; F4; G1; C5;
Measuring volatility with the realized range
Keywords: داده های با فرکانس بالا; C14; C15; C53; Realized volatility; High-low range; High-frequency data; Market microstructure noise; Bias-correction;
No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: Theory and testable distributional implications
Keywords: داده های با فرکانس بالا; C22; C15; C52; G10; C80; High-frequency data; Realized volatility; Jump detection; Financial time sampling; Normality tests;
A micro-movement model with Bayes estimation via filtering: Application to measuring trading noises and costs
Keywords: داده های با فرکانس بالا; Filtering; Counting process; Bayesian inference; Price clustering; High-frequency data; Trading cost
Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
Keywords: داده های با فرکانس بالا; C14; C22; G13; Asymptotic distribution theory; High-frequency data; Long memory; Semiparametric methods; Stationary fractional cointegration;
Forecasting realized volatility using a long-memory stochastic volatility model: estimation, prediction and seasonal adjustment
Keywords: داده های با فرکانس بالا; C13; C32; C53; Realized volatility; Long-memory stochastic volatility model; High-frequency data; Seasonal adjustment;
Stock price reaction to public and private information
Keywords: داده های با فرکانس بالا; G14; D82Learning; Earnings announcements; Market microstructure; High-frequency data; Private information; Public information and media coverage
Predicting volatility: getting the most out of return data sampled at different frequencies
Keywords: داده های با فرکانس بالا; C22; C53; G12; Volatility forecasting; MIDAS; High-frequency data; Model selection;
Monitoring disruptions in financial markets
Keywords: داده های با فرکانس بالا; Structural change; CUSUM; GARCH; Quadratic variation; Power variation; High-frequency data; Brownian bridge; Boundary crossing; Sequential tests; Local power;
Non-linear logit models for high-frequency data analysis
Keywords: داده های با فرکانس بالا; High-frequency data; Tick-by-tick data; Yen-dollar exchange rate; Binary data; Conditional probabilities; Non-linear logit models; AIC;
Content horizons for conditional variance forecasts
Keywords: داده های با فرکانس بالا; GARCH; High-frequency data; Integrated variance; Realized variance;
News announcements, market activity and volatility in the euro/dollar foreign exchange market
Keywords: داده های با فرکانس بالا; C13; C22; F31; G14; Foreign exchange market; Volatility; News announcements; High-frequency data;