Covariance estimation using high-frequency data: Analysis of Nord Pool electricity forward data

2010 7th International Conference on the European Energy Market ◽

10.1109/eem.2010.5558684 ◽

2010 ◽

Author(s):

Gudbrand Lien ◽

Erik Haugom ◽

Sjur Westgaard ◽

Per Bjarte Solibakke

Keyword(s):

Data Analysis ◽

High Frequency ◽

Covariance Estimation ◽

High Frequency Data ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series ◽

10.1002/0471264105.ch5 ◽

2003 ◽

pp. 175-220

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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Econometric Forecasting and High-Frequency Data Analysis

10.1142/6664 ◽

2008 ◽

Author(s):

Roberto S Mariano ◽

Yiu-Kuen Tse

Keyword(s):

Data Analysis ◽

High Frequency ◽

High Frequency Data ◽

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High-Frequency Data Analysis and Market Microstructure

Analysis of Financial Time Series - Wiley Series in Probability and Statistics ◽

10.1002/9780470644560.ch5 ◽

2010 ◽

pp. 231-285

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

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High-Frequency Data Analysis of Foreign Exchange Markets

Agent-Based Social Systems - Applications of Data-Centric Science to Social Design ◽

10.1007/978-981-10-7194-2_15 ◽

2019 ◽

pp. 225-245

Author(s):

Aki-Hiro Sato

Keyword(s):

Data Analysis ◽

Foreign Exchange ◽

High Frequency ◽

Foreign Exchange Markets ◽

High Frequency Data ◽

Frequency Data ◽

Exchange Markets

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Ecological Functioning of the Seine River: From Long-Term Modelling Approaches to High-Frequency Data Analysis

10.1007/698_2019_379 ◽

2019 ◽

Author(s):

J. Garnier ◽

A. Marescaux ◽

S. Guillon ◽

L. Vilmin ◽

V. Rocher ◽

...

Keyword(s):

Data Analysis ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Seine River ◽

Ecological Functioning ◽

Modelling Approaches

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How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

SSRN Electronic Journal ◽

10.2139/ssrn.2139657 ◽

2012 ◽

Author(s):

Karine Michalon

Keyword(s):

Data Analysis ◽

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Return Volatility ◽

Frequency Data ◽

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High Frequency Data Analysis in an Emerging and a Developed Market

Empirical Science of Financial Fluctuations ◽

10.1007/978-4-431-66993-7_11 ◽

2002 ◽

pp. 102-109

Author(s):

Zoltán Palágyi ◽

Gábor Kőrösi ◽

Rosario N. Mantegna

Keyword(s):

Data Analysis ◽

High Frequency ◽

High Frequency Data ◽

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Integrated Covariance Estimation Using High-Frequency Data in the Presence of Noise

SSRN Electronic Journal ◽

10.2139/ssrn.917087 ◽

2006 ◽

Author(s):

Valeri Voev ◽

Asger Lunde

Keyword(s):

High Frequency ◽

Covariance Estimation ◽

High Frequency Data ◽

Frequency Data ◽

Integrated Covariance

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Monetary Policy Shocks and the Exchange Rates: Intraday High-Frequency Data Analysis

KUKJE KYUNGJE YONGU ◽

10.17298/kky.2012.18.4.005 ◽

2012 ◽

Vol 18 (4) ◽

pp. 113-131

Author(s):

Changmo Ahn

Keyword(s):

Monetary Policy ◽

Data Analysis ◽

Exchange Rates ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Monetary Policy Shocks ◽

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STOCHASTIC TIME CHANGE, VOLATILITY, AND NORMALITY OF RETURNS: A HIGH-FREQUENCY DATA ANALYSIS WITH A SAMPLE OF LSE STOCKS

World Scientific Studies in International Economics - Risk Management and Value ◽

10.1142/9789812770745_0007 ◽

2008 ◽

pp. 129-150

Author(s):

Olfa Borsali ◽

Amel Zenaidi

Keyword(s):

Data Analysis ◽

High Frequency ◽

Time Change ◽

High Frequency Data ◽

Frequency Data ◽

Stochastic Time

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