Handbook of Modeling High-Frequency Data in Finance
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Published By John Wiley & Sons, Inc.

9781118204580, 9780470876886
Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

A Study of Persistence of Price Movement Using High Frequency Financial Data

2011 ◽  
pp. 27-46 ◽  
Author(s):  
Dragos Bozdog ◽  
Ionuţ Florescu ◽  
Khaldoun Khashanah ◽  
Jim Wang
Keyword(s):  
High Frequency ◽  
Financial Data ◽  
Price Movement

scholarly journals Estimation of NIG and VG Models for High Frequency Financial Data

2011 ◽  
pp. 1-25 ◽  
Author(s):  
José E. Figueroa-López ◽  
Steven R. Lancette ◽  
Kiseop Lee ◽  
Yanhui Mi
Keyword(s):  
High Frequency ◽  
Financial Data

scholarly journals Construction of Volatility Indices Using a Multinomial Tree Approximation Method

2011 ◽  
pp. 97-115 ◽  
Author(s):  
Dragos Bozdog ◽  
Ionuţ Florescu ◽  
Khaldoun Khashanah ◽  
Hongwei Qiu
Keyword(s):  
Approximation Method ◽  
Tree Approximation

Impact of Correlation Fluctuations on Securitized Structures

2011 ◽  
pp. 75-95
Author(s):  
Eric Hillebrand ◽  
Ambar N. Sengupta ◽  
Junyue Xu
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