Efficient Estimation of Volatility using High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.306002 ◽

2002 ◽

Cited By ~ 12

Author(s):

Gilles O. Zumbach ◽

Fulvio Corsi ◽

Adrian Trapletti

Keyword(s):

High Frequency ◽

Efficient Estimation ◽

High Frequency Data ◽

Frequency Data

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Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

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High Frequency Data in Finance: A Study of the Indian Equity Markets

SSRN Electronic Journal ◽

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Frequency Data

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Forecasting Exchange Rate Realized Volatility Through Decomposition Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.3099650 ◽

2017 ◽

Author(s):

Rim mname Lamouchi ◽

Russell mname Davidson ◽

Ibrahim mname Fatnassi ◽

Abderazak Ben mname Maatoug

Keyword(s):

Exchange Rate ◽

High Frequency ◽

Realized Volatility ◽

High Frequency Data ◽

Frequency Data

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Supplementary Material for "Dependent Microstructure Noise and Integrated Volatility Estimation from High-Frequency Data''

SSRN Electronic Journal ◽

10.2139/ssrn.3472122 ◽

2019 ◽

Author(s):

Z. Merrick Li ◽

Michel Vellekoop ◽

Roger Jean Auguste Laeven

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Volatility Estimation ◽

Integrated Volatility ◽

Supplementary Material

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Stochastic Volatility: A Tale of Co-Jumps, Non-Normality, GMM and High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data

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Profitability of Trading Strategies on High-Frequency Data, with Trading Costs

SSRN Electronic Journal ◽

10.2139/ssrn.568363 ◽

2004 ◽

Cited By ~ 1

Author(s):

Tirthankar C. Patnaik ◽

Susan Thomas

Keyword(s):

High Frequency ◽

Trading Strategies ◽

High Frequency Data ◽

Frequency Data ◽

Trading Costs

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A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Cited By ~ 2

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

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A Factor-Based Estimation of Integrated Covariance Matrix with Noisy High-Frequency Data

Journal of Business and Economic Statistics ◽

10.1080/07350015.2020.1868301 ◽

2020 ◽

pp. 1-46

Author(s):

Yucheng Sun ◽

Wen Xu

Keyword(s):

Covariance Matrix ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Integrated Covariance

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The Mystery of High Volatility and Liquidity in SSE STAR Market: A Perspective of Herd Behavioral Model Based on High-Frequency Data.

2020 International Conference on Big Data and Social Sciences (ICBDSS) ◽

10.1109/icbdss51270.2020.00030 ◽

2020 ◽

Author(s):

Wenqi Yang

Keyword(s):

High Frequency ◽

Behavioral Model ◽

High Frequency Data ◽

Frequency Data ◽

Model Based ◽

High Volatility

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Prediction-based estimation for diffusion models with high-frequency data

Japanese Journal of Statistics and Data Science ◽

10.1007/s42081-020-00103-x ◽

2021 ◽

Author(s):

Emil S. Jørgensen ◽

Michael Sørensen

Keyword(s):

High Frequency ◽

Diffusion Models ◽

High Frequency Data ◽

Frequency Data

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