Pages that link to "Item:Q1367701"

The following pages link to From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (Q1367701):

Displaying 25 items.

• Profiling high-frequency equity price movements in directional changes (Q4555073) (← links)
• ASYMPTOTICS FOR GARCH SQUARED RESIDUAL CORRELATIONS (Q4561967) (← links)
• Block bootstrap testing for changes in persistence with heavy-tailed innovations (Q4639103) (← links)
• Statistical properties of stock order books: empirical results and models (Q4646786) (← links)
• Testing the Gaussian copula hypothesis for financial assets dependences (Q4647266) (← links)
• Value-at-Risk-efficient portfolios for a class of super- and sub-exponentially decaying assets return distributions (Q4647593) (← links)
• Ensemble properties of high-frequency data and intraday trading rules (Q4683008) (← links)
• Realistic Statistical Modelling of Financial Data (Q4831974) (← links)
• THE MULTIVARIATE supOU STOCHASTIC VOLATILITY MODEL (Q4917299) (← links)
• Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (Q4970705) (← links)
• Functional prediction of intraday cumulative returns (Q4970962) (← links)
• Agent-based modelling in directional-change intrinsic time (Q4991034) (← links)
• Structural Clustering of Volatility Regimes for Dynamic Trading Strategies (Q5075241) (← links)
• A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks (Q5080547) (← links)
• Geometric ergodicity of the multivariate COGARCH(1,1) process (Q5086715) (← links)
• Time-Varying Periodicity in Intraday Volatility (Q5208074) (← links)
• Scaling laws: a viable alternative to value at risk? (Q5245356) (← links)
• Monitoring Change in Persistence Against the Null of Difference-Stationarity in Infinite Variance Observations (Q5252809) (← links)
• ON PORTFOLIO SELECTION UNDER EXTREME RISK MEASURE: THE HEAVY-TAILED ICA MODEL (Q5297233) (← links)
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes (Q5467712) (← links)
• From rational bubbles to crashes (Q5947864) (← links)
• Price fluctuations from the order book perspective - empirical facts and a simple model (Q5947885) (← links)
• A micro-to-macro approach to returns, volumes and waiting times (Q6579670) (← links)
• A robust test for monotonicity in asset returns (Q6581763) (← links)
• Realized Quantiles^* (Q6620952) (← links)