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Investing in High Frequency Data
Main topics of the document: high frequency data; skewness; kurtosis...
AH - Ekonomie
- 2016 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
How big is the rounding error in financial high-frequency data?
Main topics of the document: high-frequency data; rounding error...
Statistics and probability
- 2018 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
Analyzing Financial High-Frequency Data in R
Main topics of the document: financial econometrics; high-frequency data; R programming language; R packages...
Statistics and probability
- 2018 •
- D
Rok uplatnění
D - Stať ve sborníku
Bonds Return Modeling Using High Frequency Data
Main topics of the document: high frequency data; skewness; kurtosis; Sharpe ratio; lpha-stable distribution...
Finance
- 2016 •
- D
Rok uplatnění
D - Stať ve sborníku
Novel estimators of the Ornstein-Uhlenbeck process using high-frequency data
Main topics of the document: Ornstein-Uhlenbeck process; high-frequency data; market microstructure noise...
Statistics and probability
- 2023 •
- O •
- Link
Rok uplatnění
O - Ostatní výsledky
Výsledek na webu
Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
Main topics of the document: ultra-high-frequency data; market microstructure noise; quadratic covariation; streaming algorithm......
Statistics and probability
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data
Main topics of the document: ultra-high-frequency data; market microstructure noise; quadratic covariation; streaming algorithm......
Statistics and probability
- 2023 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
A Note on Method of Moments Estimation of Ornstein-Uhlenbeck Process Using Ultra-High-Frequency Data
Main topics of the document: Ornstein-Uhlenbeck Process; ultra-high-frequency data; market microstructure noise; method of moments......
Statistics and probability
- 2019 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
FX Market Volatility Modelling: Can we use low-frequency data?
High-frequency data tend to be costly, subject to microstructure noise, suggesting that if high-frequency data are not available, low-frequency data can be used effort? We compar...
Finance
- 2021 •
- Jimp •
- Link
Rok uplatnění
Jimp - Článek v periodiku v databázi Web of Science
Výsledek na webu
Measuring Co-movements Based on Quantile Regression using High-Frequency Information: Asymmetric Tail Dependence
Main topics of the document: CAViaR; co-movement; conditional quantile; high-frequency data...
Statistics and probability
- 2017 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
Výsledek na webu
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