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
Cited by 5 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Applying directionality trading rules into a systematic equity trading strategy for beating the rate of inflation in Malaysia;AIP Conference Proceedings;2024
2. Correlation Network Analysis of ASEAN Foreign Direct Investment;2023 IEEE International Conference on Computing (ICOCO);2023-10-09
3. Backward Stepwise Modelling for Unemployment Rate in Malaysia;2023 IEEE International Conference on Computing (ICOCO);2023-10-09
4. Visualising the Optimistic, Realistic, and Pessimistic Financial Distress Outlooks for Airport Operations in Malaysia;Journal of Cases on Information Technology;2023-06-08
5. Detecting Directionality in Time Series;The American Statistician;2019-05-13
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3