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Displaying results 1 to 3 of 3.

  1. High-frequency cross-market trading
    model free measurement and applications
    Author: Dobrev, Dobrislav; Schaumburg, Ernst
    Published: [2017]
    Publisher:  Centre for Econometric Analysis, Cass Business School, London

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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This version: December 30, 2016
    Series: CEA@Cass working paper series ; WP-CEA-2017, 01
    Subjects: High-frequency trading; cross-market activity; lead-lag relationships; liquidity provision,order flow; price impact; price discovery; realized volatility; S&P500; US Treasuries; FXmarkets
    Scope: 1 Online-Ressource (circa 43 Seiten), Illustrationen
  2. Bootstrapping pre-averaged realized volatility under market microstructure noise
    Author: Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour
    Published: May 2017
    Publisher:  IDEI, Institut d'économie industrielle, [Toulouse]

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / IDEI, Institut d'économie industrielle ; n. 869
    Subjects: Block bootstrap; high frequency data; market microstructure noise; preaveraging; realized volatility; wild bootstrap
    Scope: 1 Online-Ressource (circa 48 Seiten), Illustrationen
  3. Construction and visualization of optimal confidence sets for frequentist distributional forecasts
    Author: Harris, David; Martin, Gael M.; Perera, Indeewara; Poskitt, Donald Stephen
    Published: August 2017
    Publisher:  Monash University, Department of Econometrics and Business Statistics, Victoria

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Content information
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / Monash University, Department of Econometrics and Business Statistics ; 17, 09
    Subjects: Probabilistic forecasts; asymptotically uniformly most accurate confidence regions; time series models; animated graphics; realized volatility; heterogeneous autoregressive model
    Scope: 1 Online-Ressource (circa 31 Seiten), Illustrationen