Financial econometric analysis at ultra-high frequency: Data handling concerns

C.T. Brownlees; G.M. Gallo

doi:10.1016/j.csda.2006.09.030

Financial econometric analysis at ultra-high frequency: Data handling concerns

Computational Statistics & Data Analysis ◽

10.1016/j.csda.2006.09.030 ◽

2006 ◽

Vol 51 (4) ◽

pp. 2232-2245 ◽

Cited By ~ 166

Author(s):

C.T. Brownlees ◽

G.M. Gallo

Keyword(s):

High Frequency ◽

Econometric Analysis ◽

High Frequency Data ◽

Data Handling ◽

Frequency Data ◽

Ultra High Frequency

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Financial Econometric Analysis at Ultra-High Frequency: Data Handling Concerns

SSRN Electronic Journal ◽

10.2139/ssrn.886204 ◽

2006 ◽

Cited By ~ 2

Author(s):

Christian T. Brownlees ◽

Giampiero M. Gallo

Keyword(s):

High Frequency ◽

Econometric Analysis ◽

High Frequency Data ◽

Data Handling ◽

Frequency Data ◽

Ultra High Frequency

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Econometric analysis of high frequency data

Allgemeines Statistisches Archiv ◽

10.1007/s10182-006-0223-3 ◽

2006 ◽

Vol 90 (1) ◽

pp. 89-104 ◽

Cited By ~ 1

Author(s):

Helmut Herwartz

Keyword(s):

High Frequency ◽

Econometric Analysis ◽

High Frequency Data ◽

Frequency Data

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Streaming Approach to Quadratic Covariation Estimation Using Financial Ultra-High-Frequency Data

Computational Economics ◽

10.1007/s10614-021-10210-w ◽

2021 ◽

Author(s):

Vladimír Holý ◽

Petra Tomanová

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency ◽

Quadratic Covariation

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Evaluating Volatility Forecasts with Ultra-High-Frequency Data—Evidence from the Australian Equity Market

Theoretical Economics Letters ◽

10.4236/tel.2018.81001 ◽

2018 ◽

Vol 08 (01) ◽

pp. 1-27

Author(s):

Kai Zhang ◽

Lurion De Mello ◽

Mehdi Sadeghi

Keyword(s):

High Frequency ◽

Equity Market ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency

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The Econometrics of Ultra-high-frequency Data

Econometrica ◽

10.1111/1468-0262.00091 ◽

2000 ◽

Vol 68 (1) ◽

pp. 1-22 ◽

Cited By ~ 439

Author(s):

Robert F. Engle

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency

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Inference for Time-Varying Lead-Lag Relationships from Ultra High Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2924301 ◽

2017 ◽

Cited By ~ 1

Author(s):

Yuta Koike

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Time Varying ◽

Frequency Data ◽

Ultra High Frequency

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An improved algorithm for cleaning Ultra High-Frequency data

Journal of Derivatives & Hedge Funds ◽

10.1057/jdhf.2009.16 ◽

2010 ◽

Vol 15 (4) ◽

pp. 323-340 ◽

Cited By ~ 4

Author(s):

Thanos Verousis ◽

Owain ap Gwilym

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency ◽

Improved Algorithm

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Modeling Ultra-High-Frequency Data: The S&P 500 Index Future

Mathematical and Statistical Methods in Insurance and Finance ◽

10.1007/978-88-470-0704-8_21 ◽

2007 ◽

pp. 165-172

Author(s):

Marco Minozzo ◽

Silvia Centanni

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency ◽

Index Future

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Forecasting market risk using ultra-high-frequency data and scaling laws

Quantitative Finance ◽

10.1080/14697688.2018.1453166 ◽

2018 ◽

Vol 18 (12) ◽

pp. 2085-2099

Author(s):

Jun Qi ◽

Lan Yi ◽

Yiyun Chen

Keyword(s):

High Frequency ◽

Scaling Laws ◽

Market Risk ◽

High Frequency Data ◽

Frequency Data ◽

Ultra High Frequency

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A New Approach for the Dynamics of Ultra-High-Frequency Data: The Model with Uncertainty Zones

Journal of Financial Econometrics ◽

10.1093/jjfinec/nbq023 ◽

2010 ◽

Vol 9 (2) ◽

pp. 344-366 ◽

Cited By ~ 35

Author(s):

C. Y. Robert ◽

M. Rosenbaum

Keyword(s):

High Frequency ◽

High Frequency Data ◽

Frequency Data ◽

New Approach ◽

Ultra High Frequency

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