scholarly journals High Frequency Data, Frequency Domain Inference and Volatility Forecasting

1999 ◽  
Vol 1999 (649) ◽  
pp. 1-27
Author(s):  
Jonathan H. Wright ◽  
◽  
Tim Bollerslev
Keyword(s):  
Frequency Domain ◽  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Volatility Forecasting ◽  
Data Frequency

Fourier volatility forecasting with high-frequency data and microstructure noise

2012 ◽  
Vol 12 (2) ◽  
pp. 281-293 ◽  
Author(s):  
Emilio Barucci ◽  
Davide Magno ◽  
Maria Elvira Mancino
Keyword(s):  
High Frequency ◽  
High Frequency Data ◽  
Frequency Data ◽  
Microstructure Noise ◽  
Volatility Forecasting

scholarly journals A frequency domain analysis of the error distribution from noisy high-frequency data

Biometrika ◽  
2018 ◽  
Vol 105 (2) ◽  
pp. 353-369
Author(s):  
Jinyuan Chang ◽  
Aurore Delaigle ◽  
Peter Hall ◽  
Cheng Yong Tang
Keyword(s):  
Frequency Domain ◽  
High Frequency ◽  
Domain Analysis ◽  
Frequency Domain Analysis ◽  
Error Distribution ◽  
High Frequency Data ◽  
Frequency Data
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