Essays on High-Frequency Financial Data Analysis

Essays on High-Frequency Financial Data Analysis

This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday volatility estimation, the Business Time Sampling (BTS) scheme and the estimation of market microstructure noise using NYSE tick-by-tick transac...

Saved in:

書目詳細資料
主要作者:	DONG, Yingjie
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2015
主題:	high-frequency data integrated volatility time transformation function noise-to-signal ratio Economics Finance
在線閱讀:	https://ink.library.smu.edu.sg/etd_coll/115 https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1119&context=etd_coll
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Singapore Management University
語言:	English

相似書籍

Business time sampling scheme with applications to testing semi-martingale hypothesis and estimating integrated volatility
由: DONG, Yingjie, et al.
出版: (2017)

On estimating market microstructure noise variance
由: DONG, Yingjie, et al.
出版: (2017)

Business time sampling scheme and its applications to semi-martingale hypothesis and estimating integrated volatility
由: Dong, Yingjie, et al.
出版: (2014)

Occupation density estimation for noisy high-frequency data
由: ZHANG, Congshan, et al.
出版: (2022)

Covariance Matrix Estimation with High Frequency Financial Data
由: LIU CHENG
出版: (2013)

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation
由: TSE, Yiu Kuen, et al.
出版: (2014)

Essays on high-frequency financial econometric
由: LI, Qiyuan
出版: (2024)

Generalized method of integrated moments for high-frequency data
由: LI, Jia, et al.
出版: (2016)

Testing for jumps in noisy high frequency data
由: AIT-SAHALIA, Yacine, et al.
出版: (2012)

Shrinkage Estimation of Covariance Matrix for Portfolio Choice with High Frequency Data
由: LIU, Cheng, et al.
出版: (2016)

Variation and efficiency of high-frequency betas
由: ZHANG, Congshan, et al.
出版: (2022)

Realized daily variance of S&P 500 cash index: A revaluation of stylized facts
由: HUANG, Shirley, et al.
出版: (2007)

Adaptive estimation of continuous-time regression models using high-frequency data
由: LI, Jia, et al.
出版: (2017)

A state space model approach to integrated covariance matrix estimation with high frequency data
由: Liu, Cheng, et al.
出版: (2013)

Three Essays on Financial Econometrics
由: LIANG, Jiang
出版: (2015)

Three essays on financial econometrics
由: LIANG, Jiang
出版: (2015)

Comparisons of the Super-resolution TOA/TDOA Estimation Algorithms
由: Gao, Caicai, et al.
出版: (2018)

Glivenko-Cantelli Theorems for integrated functionals of stochastic processes
由: LI, Jia, et al.
出版: (2021)

Development of a high frequency ambient noise data acquisition system
由: KOAY TEONG BENG
出版: (2010)

A Piloted Notch Time-Frequency Information Based Variable Step-Size Algorithm
由: Chobey, Dinesh Kumar, et al.
出版: (2016)

Realized Daily Variance of S&P500 Cash Index: A Revaluation of Stylized Facts
由: HUANG, Shirley J., et al.
出版: (2007)

REALIZING THE FUTURE: VOLATILITY FORECASTING WITH REALIZED MEASURES, IMPLIED VOLATILITY AND COMPOSITE MODELS
由: VALERIE TANG YI LING
出版: (2018)

Efficient estimation of integrated volatility functionals via multi-scale jackknife
由: LI, Jia, et al.
出版: (2019)

Cross-exchange crypto risk: A high-frequency dynamic network perspective
由: WANG, Yifu, et al.
出版: (2024)

Forecasting large covariance matrix with high-frequency data: A factor correlation matrix approach
由: DONG, Yingjie, et al.
出版: (2018)

Forecasting large covariance matrix with high-frequency data: A factor approach for the correlation matrix
由: DONG, Yingjie, et al.
出版: (2020)

Application of linear prediction and rapid acquisition to nuclear magnetic resonance
由: Chainani, Edward T, et al.
出版: (2002)

Robust estimation and inference for jumps in noisy high frequency data: A Local-to-Continuity Theory for the pre-averaging method
由: LI, Jia
出版: (2013)

Inference theory on volatility functional dependencies
由: LI, Jia, et al.
出版: (2016)

Effect of anisotropy field magnitude distribution on signal-to-noise ratio
由: Wei, D., et al.
出版: (2014)

Single-image signal-to-noise ratio estimation
由: Thong, J.T.L., et al.
出版: (2014)

High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times
由: CHEN, Dachuan
出版: (2024)

Robust jump regressions
由: LI, Jia, et al.
出版: (2017)

Volatility occupation times
由: LI, Jia, et al.
出版: (2013)

Mixed-scale jump regressions with bootstrap inference
由: LI, Jia, et al.
出版: (2017)

Econometric forecasting and high-frequency data analysis
由: TSE, Yiu Kuen, et al.
出版: (2009)

Uncertainty principles for linear and quadratic time-frequency representations
由: LI JIAWEN
出版: (2010)

High dimensional regression coefficient test with high frequency data
由: CHEN, Dachuan, et al.
出版: (2024)

The Co-movement of Credit Default Swap Spreads, Stock Market Returns and Volatilities
出版: (2020)

Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies
由: PETUKHINA, Alla A, et al.
出版: (2021)