Econometric analysis of high frequency data
type: Item
instance of: scholarly article
title: Econometric analysis of high frequency data
zbMATH Open document ID: 1103.62104
author: Helmut Herwartz
published in: AStA. Allgemeines Statistisches Archiv
publication date: 2007-01-24T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 5118352
zbMATH Keywords: high frequency data
zbMATH Keywords: price discovery
zbMATH Keywords: realized volatility
zbMATH Keywords: conditional normality
MaRDI profile type: Publication
full work available at URL: s10182-006-0223-3
OpenAlex ID: W4238378911
cites work: Ultra high frequency volatility estimation with dependent microstructure noise
cites work: Q3374323
cites work: The Distribution of Realized Exchange Rate Volatility
cites work: Modeling and Forecasting Realized Volatility
cites work: Realized Beta: Persistence and Predictability
cites work: Asset pricing for general processes
cites work: Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
cites work: Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics
cites work: Q5309198
cites work: Generalized autoregressive conditional heteroscedasticity
cites work: Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
cites work: Co-Integration and Error Correction: Representation, Estimation, and Testing
cites work: Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
cites work: Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
cites work: Maximum Likelihood Fitting of ARMA Models to Time Series with Missing Observations
cites work: MODELING HIGH-FREQUENCY FOREIGN EXCHANGE DATA DYNAMICS
cites work: Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
cites work: Threshold cointegration and nonlinear adjustment to the law of one price
cites work: ARCH models as diffusion approximations
cites work: Q4905685
cites work: Q3996259
cites work: Q5445942
cites work: Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models
cites work: A Tale of Two Time Scales
DOI: 10.1007/S10182-006-0223-3
description: scientific article; zbMATH DE number 5118352