High Frequency Data

Modelling Financial High Frequency Data Using Point Processes

Statistical Inference / Duration / Financial Market / Intensity / Hazard Rate / High Frequency Data

Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

Economics / Monte Carlo Simulation / Monte Carlo / Mathematical Sciences / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency

Long-Range Dependence, Fractal Processes, and Intra-Daily Data

Financial Market / High Frequency Data

Financial Market Linkages In South Asia: Evidence Using a Multivariate GARCH Model

South Asia / Foreign Exchange Market / Sri Lanka / Regional Economics / Applied Economics / Regional Integration / Financial Market Integration / Financial System / Exchange rate / Financial Market / Second Order / Market integration / Regional Economy / Pakistan Development / High Frequency Data / Transmission Mechanism / Regional Integration / Financial Market Integration / Financial System / Exchange rate / Financial Market / Second Order / Market integration / Regional Economy / Pakistan Development / High Frequency Data / Transmission Mechanism

Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests

Economics / Monte Carlo Simulation / Monte Carlo / Monte Carlo Simulations / Mathematical Sciences / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency / Stochastic Volatility / Microstructure Noise / New York Stock Exchange / Empirical Analysis / High Frequency Data / Sampling Frequency

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