Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data

On Asset-Allocation and High-Frequency Data: Are There Financial Gains From Using Different Covariance Estimators?

10.2139/ssrn.3191794 ◽

2018 ◽

Author(s):

Erindi Allaj ◽

Maria Elvira Mancino

Keyword(s):

Asset Allocation ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Financial Gains

Performance analysis of minimum variance asset allocation with high frequency data

2013 IEEE International Conference on Acoustics, Speech and Signal Processing ◽

10.1109/icassp.2013.6638917 ◽

2013 ◽

Author(s):

Jian Yu ◽

Francisco Rubio ◽

Matthew R. McKay

Keyword(s):

Performance Analysis ◽

Asset Allocation ◽

High Frequency ◽

Minimum Variance ◽

High Frequency Data ◽

On asset-allocation and high-frequency data: are there financial gains from using different covariance estimators?

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2019.1643882 ◽

2019 ◽

pp. 1-29

Author(s):

Erindi Allaj ◽

Maria Elvira Mancino

Keyword(s):

Asset Allocation ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Financial Gains

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

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

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

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Efficient Estimation of Volatility using High Frequency Data

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 ◽

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

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 ◽

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

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

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

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

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

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