Directionality and volatility in high-frequency time series
Author:
Affiliation:
1. School of Mathematical Sciences; University of Adelaide; Adelaide SA Australia
Funder
University of Adelaide
Publisher
Wiley
Subject
General Medicine
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1002/hf2.10008/fullpdf
Reference20 articles.
1. How does capital affect bank performance during financial crises?;Allen;Journal of Financial Economics,2013
2. Predicting the volatility of the S&P-500 stock index via GARCH models: The role of asymmetries;Awartani;International Journal of Forecasting,2005
3. A point process approach to value-at-risk estimation;Chavez-Demoulin;Quantitative Finance,2005
4. High-frequency financial data modeling using hawkes processes;Chavez-Demoulin;Journal of Banking & Finance,2012
5. Empirical properties of asset returns: Stylized facts and statistical issues;Cont;Quantitative Finance,2001
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