Keywords: داده های فرکانس بالا; C14; C22; C51; G10; Nonparametric regression; Nonstationary error term; Structural spurious regression; Consistency; High frequency data;
مقالات ISI داده های فرکانس بالا (ترجمه نشده)
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Keywords: داده های فرکانس بالا; C01; C02; C13; C14; C80; ItoË semimartingale; High frequency data; Multiple transactions; Realized power variations; Microstructure noise; Central limit theorem;
Keywords: داده های فرکانس بالا; Laplace transform; Convolution; Spot volatility; Non-parametric estimation; High frequency data; Microstructure noise; C14; C58;
Keywords: داده های فرکانس بالا; Storms; Water quality; High frequency data; Descriptors; Hysteresis; Rural catchment;
Keywords: داده های فرکانس بالا; C12; C14; Self-excitation; Jumps; Semimartingale; Spot jump intensity; Discrete sampling; High frequency data; Financial crisis;
Keywords: داده های فرکانس بالا; C13; C14; C55; C58; High frequency data; Microstructure noise; Non-synchronous trading; Integrated covariance matrix; Minimum variance portfolio; Nonlinear shrinkage;
Keywords: داده های فرکانس بالا; C01; C02; C13; C14; C22; C58; High frequency data; Jumps; Market microstructure noise; Integrated volatility; Quasi-maximum likelihood estimator; Realized kernels; Stochastic sampling times;
Keywords: داده های فرکانس بالا; SWAT; GLUE; Phosphorus; Uncertainty analysis; River Eden; High frequency data;
Keywords: داده های فرکانس بالا; G01; G12; G15; C12; C14; C58; Flight-to-safety; Flight-to-quality; Mutual excitation in jumps; High frequency data; Stock-bond comovement;
Keywords: داده های فرکانس بالا; Wind energy; Turbulence; Dissipation; High frequency data; Spectral density; Cross-correlation
Keywords: داده های فرکانس بالا; C14; C32; High frequency data; Covariation; Microstructure; Endogenous durations;
Keywords: داده های فرکانس بالا; Forex market; Announcements; Jump detection test; High frequency data; Microstructure noise; Asymmetric GARCH;
Keywords: داده های فرکانس بالا; High frequency data; Realized volatility; Overnight volatility; Forecasting;
Keywords: داده های فرکانس بالا; C14; C13; D40; High frequency data; Integrated volatility; Market microstructure noise; Realized volatility; Efficiency;
Keywords: داده های فرکانس بالا; C32; C51; C58; High frequency data; Forecasting; Composite likelihood; Nonlinear dependence;
Keywords: داده های فرکانس بالا; C01; C02; C13; C14; C22; G11; Consistency; Cumulants; Contiguity; Continuity; Discrete observation; Efficiency; Equivalent martingale measure; High frequency data; Jumps; Leverage effect; M-estimation; Medianisation; Microstructure; Pre-averaging; Realise
Keywords: داده های فرکانس بالا; primary, 62M20; secondary, 62M10Continuous jump decomposition; High frequency data; Jump; Long-memory; Overnight realized variance; Volatility forecasting; Volatility spillover
Keywords: داده های فرکانس بالا; High frequency data; Jumps; Nonparametric tests; Asset allocation; Volatility forecasting; Realized volatility; C58; C53; G11;
Keywords: داده های فرکانس بالا; ARFIMA-APARCH; Time-varying regression; High frequency data; Comparison study; Forecasting;
Keywords: داده های فرکانس بالا; primary, 60F05, 60F15, 60F17; secondary, 60G48, 60H05Brownian semi-stationary processes; High frequency data; Limit theorems; Stable convergence
Keywords: داده های فرکانس بالا; Adaptive estimation; Discrete observation; Efficiency; High frequency data; Itô process; Leverage effect; Microstructure; Pre-averaging; Realized volatility; Semi-martingale; Stable convergence;
Keywords: داده های فرکانس بالا; Exchange Rate; Emerging Markets; Momentum Trading Strategies; High Frequency Data; Profits;
Keywords: داده های فرکانس بالا; International finance; Foreign exchange; Uncovered interest parity; Unbiased efficiency of the forward rate; Carry trades; High frequency data;
Keywords: داده های فرکانس بالا; C22; G00; Volatility; Realized volatility; High frequency data; Price jumps;
Keywords: داده های فرکانس بالا; C13; C22; C51; High frequency data; Integrated covariance matrix; Microstructure noises; Quasi-maximum likelihood;
Keywords: داده های فرکانس بالا; Minimum contrast estimators; Low frequency data; High frequency data; Epidemic data;
Keywords: داده های فرکانس بالا; C13; C14; C32; C41; Conditional duration; High frequency data; Estimating functions; Maximum likelihood;
Keywords: داده های فرکانس بالا; C22; F31; High frequency data; Long memory; Volatility persistence; Structural breaks;
Keywords: داده های فرکانس بالا; primary; 60F05; 60F15; 60F17; secondary; 60G48; 60H05; Brownian semi-stationary processes; High frequency data; Limit theorems; Stable convergence; Turbulence;
Keywords: داده های فرکانس بالا; primary, 62M10; secondary, 62M20Conditional heteroscedasticity; Fractional integration; HAR model; High frequency data; Long-memory; Volatility forecasting
Keywords: داده های فرکانس بالا; F31; G14Exchange rates; High frequency data; Intervention; Markov-switching model; Microstructure
Keywords: داده های فرکانس بالا; Emerging markets; High frequency data; Istanbul Stock Exchange; Middle class; Trading behavior
Dynamics of financial returns densities: A functional approach applied to the Bovespa intraday index
Keywords: داده های فرکانس بالا; Stochastic processes; Autocovariance; Dimension reduction; High frequency data; Volatility forecasting;
Bitcoin technical trading with artificial neural network
Keywords: داده های فرکانس بالا; Bitcoin; Artificial neural network; Deep learning; High frequency data; Technical trading;
Time series analysis of S&P 500 index: A horizontal visibility graph approach
Keywords: داده های فرکانس بالا; S&P500 index; High frequency data; Horizontal visibility graph; Chaos theory; Irreversibility; Financial crises;
Two-stage stationary bootstrapping for bivariate average realized volatility matrix under market microstructure noise and asynchronicity
Keywords: داده های فرکانس بالا; C22; Market microstructure noise; Non-synchronous trading; Realized covariations; Two-time scale estimator; Stationary bootstrap; High frequency data;
Modeling High Frequency Data Using Hawkes Processes with Power-law Kernels1
Keywords: داده های فرکانس بالا; High frequency data; Hawkes processes; intensity kernel
Intraday risk management in International stock markets: A conditional EVT approach
Keywords: داده های فرکانس بالا; G 15; G 17; Value-at-risk; Peak over threshold method; Conditional EVT; Deseasonalized returns; High frequency data; Forecasting;
Regarding the influence of the Van der Hoven spectrum on wind energy applications in the meteorological mesoscale and microscale
Keywords: داده های فرکانس بالا; Wind energy; Turbulence; Van der Hoven spectrum; High frequency data;
Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data
Keywords: داده های فرکانس بالا; Portfolio diversification; Dynamic correlations; High frequency data; Time-varying copulas; Commodities; C14; C32; C51; F37; G11;
Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes
Keywords: داده های فرکانس بالا; C58; C22; C53; Realized variance; Volatility forecasting; High frequency data;
High-frequency asymptotics for path-dependent functionals of Itô semimartingales
Keywords: داده های فرکانس بالا; High frequency data; Limit theory; Semimartingales; Stable convergence
Long range dependence in the high frequency USD/INR exchange rate
Keywords: داده های فرکانس بالا; Long memory; High frequency data; Local Whittle; Exact Local Whittle; FIAPARCH; ARFIMA
The economics of data: Using simple model-free volatility in a high-frequency world ⿿
Keywords: داده های فرکانس بالا; Economics of information; Model free volatility; High frequency data; Long memory effects
Generalized Birnbaum–Saunders kernel density estimators and an analysis of financial data
Keywords: داده های فرکانس بالا; High frequency data; Kernel nonparametric method; Kurtosis; Monte Carlo method; R statistical computation language
Forecasting volatility with the realized range in the presence of noise and non-trading ⿿
Keywords: داده های فرکانس بالا; C58; C53; G17Realized variance; Realized range; Two time scales; High frequency data; Market microstructure noise; Forecasting
Jumps in equilibrium prices and market microstructure noise
Keywords: داده های فرکانس بالا; C12; C14; G14; Jumps; Noise; Nonparametric tests; High frequency data;
Cojumping: Evidence from the US Treasury bond and futures markets
Keywords: داده های فرکانس بالا; C1; C32; G14; US Treasury markets; High frequency data; Cojump test;
Testing for jumps in noisy high frequency data
Keywords: داده های فرکانس بالا; C22; Semimartingale; Testing for jumps; High frequency data; Market microstructure noise; Pre-averaging;
Selectivity and timing performance of UK investment trusts
Keywords: داده های فرکانس بالا; G10; G14; Investment trusts; Selectivity and timing; GJR-GARCH-M; Conditional asymmetry; High frequency data;