Flexible covariance dynamics, high‐frequency data, and optimal futures hedging

Yu‐Sheng Lai

doi:10.1002/fut.22054

Flexible covariance dynamics, high‐frequency data, and optimal futures hedging

Journal of Futures Markets ◽

10.1002/fut.22054 ◽

2019 ◽

Vol 39 (12) ◽

pp. 1529-1548

Author(s):

Yu‐Sheng Lai

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Futures Hedging

Download Full-text

Generalized autoregressive score model with high‐frequency data for optimal futures hedging

Journal of Futures Markets ◽

10.1002/fut.22254 ◽

2021 ◽

Author(s):

Yu‐Sheng Lai

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Futures Hedging ◽

Score Model

Download Full-text

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

SSRN Electronic Journal ◽

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

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.300343 ◽

2003 ◽

Author(s):

Susan Thomas

Keyword(s):

High Frequency ◽

Equity Markets ◽

High Frequency Data ◽

Frequency Data

Download Full-text

Efficient Estimation of Volatility using High Frequency Data

SSRN Electronic Journal ◽

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 ◽

Frequency Data

Download Full-text

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

SSRN Electronic Journal ◽

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 ◽

Frequency Data

Download Full-text

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

SSRN Electronic Journal ◽

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

Download Full-text

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

SSRN Electronic Journal ◽

10.2139/ssrn.3549884 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Stochastic Volatility ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data

Download Full-text

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

SSRN Electronic Journal ◽

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

Download Full-text

A Hausman Test for the Presence of Market Microstructure Noise in High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2741911 ◽

2016 ◽

Cited By ~ 2

Author(s):

Yacine Ait-Sahalia ◽

Dacheng Xiu

Keyword(s):

Market Microstructure ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Microstructure Noise ◽

Hausman Test ◽

Market Microstructure Noise

Download Full-text

A Factor-Based Estimation of Integrated Covariance Matrix with Noisy High-Frequency Data

Journal of Business and Economic Statistics ◽

10.1080/07350015.2020.1868301 ◽

2020 ◽

pp. 1-46

Author(s):

Yucheng Sun ◽

Wen Xu

Keyword(s):

Covariance Matrix ◽

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Integrated Covariance

Download Full-text