المؤلفون: Guglielmo D’Amico, Bice Di Basilio, Filippo Petroni

المصدر: Financial Innovation, Vol 10, Iss 1, Pp 1-40 (2024)

مصطلحات موضوعية: Drawdown-based measures, High-frequency financial volumes, Semi-Markov model, Right censoring, Chi-square independence test, Goodness-of-fit test, Public finance, K4430-4675, Finance, HG1-9999

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2199-4730

URL الوصول: https://doaj.org/article/3c18b2597ced44b69dac3ae2bd5baca3

المؤلفون: Shang, Han Lin, Ji, Kaiying

المصدر: Shang , H L & Ji , K 2023 , ' Forecasting intraday financial time series with sieve bootstrapping and dynamic updating ' , Journal of Forecasting , vol. 42 , no. 8 , pp. 1973-1988 . https://doi.org/10.1002/for.3000

مصطلحات موضوعية: function-on-function linear regression, functional principal component analysis, high-frequency financial data, penalized least squares, vector autoregressive model

وصف الملف: application/pdf

الاتاحة: https://researchers.mq.edu.au/en/publications/d6240077-a801-4f8c-8e8f-24b6f25bf7a0
https://doi.org/10.1002/for.3000
https://research-management.mq.edu.au/ws/files/304635565/Journal_of_Forecasting_2023_Shang_Forecasting_intraday_financial_time_series_with_sieve_bootstrapping_and_dynamic.pdf
http://www.scopus.com/inward/record.url?scp=85161840426&partnerID=8YFLogxK
http://purl.org/au-research/grants/arc/DP230102250

المؤلفون: Maria C. Mariani, Osei K. Tweneboah, Md Al Masum Bhuiyan, Maria P. Beccar-Varela, Ionut Florescu

المصدر: Axioms; Volume 12; Issue 4; Pages: 372

مصطلحات موضوعية: discrete Fourier transform, wavelets methodology, discriminant analysis, clustering analysis, high-frequency financial data

وصف الملف: application/pdf

Relation: Mathematical Analysis; https://dx.doi.org/10.3390/axioms12040372

الاتاحة: https://doi.org/10.3390/axioms12040372

المؤلفون: Petr Vejmělka, Tomáš Cipra

المصدر: Statistika: Statistics and Economy Journal, Vol 101, Iss 3, Pp 296-311 (2021)

مصطلحات موضوعية: garch, high-frequency financial time series, recursive estimation, risk prediction, volatility, Statistics, HA1-4737

وصف الملف: electronic resource

Relation: https://www.czso.cz/documents/10180/143550799/32019721q3_296-311_vejmelka_analyses.pdf/5d1f35eb-41db-472a-9b50-e02c94b811fa?version=1.1; https://doaj.org/toc/0322-788X; https://doaj.org/toc/1804-8765

URL الوصول: https://doaj.org/article/cc649e28c1294e7aa2cea380ce34f4d9

المؤلفون: LEÃO, JEREMIAS, PAIXÃO, RAFAEL, SAULO, HELTON, LEAO, THEMIS

المصدر: Anais da Academia Brasileira de Ciências. January 2021 93(4)

مصطلحات موضوعية: ACD models, Bayesian inference, high frequency financial data, log-symmetric distributions

وصف الملف: text/html

URL الوصول: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305

المؤلفون: Herval, Ana Claudia Festucci de, Sáfadi, Thelma

المصدر: Research, Society and Development

مصطلحات موضوعية: Análise de saltos multiescala, Análise de volatilidade, Dados financeiros de alta frequência, Decomposição de ondaletas, Mercado brasileiro de ações, Séries temporais financeiras, Ensino de finanças, Multi-scale jump analysis, Volatility analysis, High-frequency financial data, Wavelet decomposition

وصف الملف: application/pdf

Relation: HERVAL, A. C. F. de; SÁFADI, T. Impacto dos saltos na componente discreta da volatilidade: o caso da Petrobrás. Research, Society and Development, Vargem Grande Paulista, v. 11, n. 5, e37611528326, 2022. DOI:10.33448/rsd-v11i5.28326.; http://repositorio.ufla.br/jspui/handle/1/50846

الاتاحة: http://repositorio.ufla.br/jspui/handle/1/50846

المؤلفون: Morariu-Patrichi, Maxime, Pakkanen, Mikko S.

المصدر: Morariu-Patrichi , M & Pakkanen , M S 2022 , ' State-dependent Hawkes processes and their application to limit order book modelling ' , Quantitative Finance , vol. 22 , no. 3 , pp. 563-583 . https://doi.org/10.1080/14697688.2021.1983199

مصطلحات موضوعية: Endogeneity, Hawkes process, High-frequency financial data, Limit order book, Market microstructure, Maximum likelihood estimation

وصف الملف: application/pdf

Relation: https://pure.au.dk/portal/da/publications/statedependent-hawkes-processes-and-their-application-to-limit-order-book-modelling(c4273b39-d71e-4c77-b266-ad2536ba4ef7).html

الاتاحة: https://pure.au.dk/portal/da/publications/statedependent-hawkes-processes-and-their-application-to-limit-order-book-modelling(c4273b39-d71e-4c77-b266-ad2536ba4ef7).html
https://doi.org/10.1080/14697688.2021.1983199
https://pure.au.dk/ws/files/353346350/State-dependent_Hawkes_processes_and_their_application_to_limit_order_book_modelling.pdf
http://www.scopus.com/inward/record.url?scp=85121339633&partnerID=8YFLogxK

المؤلفون: Herval, Ana Claudia Festucci de, Sáfadi, Thelma

المصدر: Research, Society and Development; Vol. 11 No. 5; e37611528326 ; Research, Society and Development; Vol. 11 Núm. 5; e37611528326 ; Research, Society and Development; v. 11 n. 5; e37611528326 ; 2525-3409

مصطلحات موضوعية: Análise de saltos multiescala, Análise de volatilidade, Dados financeiros de alta frequência, Decomposição de ondaletas, Mercado brasileiro de ações, Séries temporais financeiras, Ensino de finanças, Análisis de salto multiescala, Análisis de volatilidad, Datos financieros de alta frecuencia, Descomposición wavelet, Bolsa de valores brasileña, Serie temporal financiera, Enseñando finanzas, Multi-Scale Jump analysis, Volatility Analysis, High-Frequency Financial Data, Wavelet decomposition, Brazilian Stock Market, Financial Time Series, Finance teaching

وصف الملف: application/pdf

Relation: https://rsdjournal.org/index.php/rsd/article/view/28326/24665; https://rsdjournal.org/index.php/rsd/article/view/28326

الاتاحة: https://rsdjournal.org/index.php/rsd/article/view/28326
https://doi.org/10.33448/rsd-v11i5.28326

المؤلفون: Wehrli, Alexander, Sornette, Didier

المصدر: Quantitative Finance, 22 (2)

مصطلحات موضوعية: Flash crash, Hawkes process, ARMA point process, High frequency financial data, Market microstructure, EM algorithm, Time-varying parameters

وصف الملف: application/application/pdf

Relation: info:eu-repo/semantics/altIdentifier/wos/000696443500001; http://hdl.handle.net/20.500.11850/506678

الاتاحة: https://hdl.handle.net/20.500.11850/506678
https://doi.org/10.3929/ethz-b-000506678

المؤلفون: JEREMIAS LEÃO, RAFAEL PAIXÃO, HELTON SAULO, THEMIS LEAO

المصدر: Anais da Academia Brasileira de Ciências, Vol 93, Iss 4 (2021)

مصطلحات موضوعية: ACD models, Bayesian inference, high frequency financial data, log-symmetric distributions, Science

وصف الملف: electronic resource

Relation: http://www.scielo.br/scielo.php?script=sci_arttext&pid=S0001-37652021000700305&tlng=en; https://doaj.org/toc/1678-2690

URL الوصول: https://doaj.org/article/66f5e93aa64b44d883bd60ff94706fdf

المؤلفون: Shihua Luo, Cong Tian

المصدر: IEEE Access, Vol 8, Pp 203183-203189 (2020)

مصطلحات موضوعية: High-frequency financial data, long short-term memory, neural network, predict, sub-step grid search (SGS), Electrical engineering. Electronics. Nuclear engineering, TK1-9971

وصف الملف: electronic resource

Relation: https://ieeexplore.ieee.org/document/9253637/; https://doaj.org/toc/2169-3536

URL الوصول: https://doaj.org/article/66d857f142504d92bae5a208bb2958c1

المؤلفون: Stanley Kimani Kirika

المصدر: Jurnal Perspektif Pembiayaan dan Pembangunan Daerah, Vol 6, Iss 4, Pp 429-434 (2019)

مصطلحات موضوعية: algo-trading, immediacy, high frequency financial, econometrics, latency, regulation, Economic growth, development, planning, HD72-88, Finance, HG1-9999

وصف الملف: electronic resource

Relation: https://online-journal.unja.ac.id/JES/article/view/6154; https://doaj.org/toc/2338-4603; https://doaj.org/toc/2355-8520

URL الوصول: https://doaj.org/article/764c03ac662d417d8317405044af5307

المؤلفون: KURISU, DAISUKE

المصدر: Scandinavian Journal of Statistics, 2018 Sep 01. 45(3), 482-512.

URL الوصول: https://www.jstor.org/stable/26593419

المؤلفون: Maneesoonthorn, Ole Worapree¹

المصدر: Economic Record. Dec2015, Vol. 91 Issue 295, p542-544. 3p.

مصطلحات موضوعية: *FINANCIAL econometrics, NONFICTION

Reviews & Products: HIGH-Frequency Financial Econometrics (Book)

People: AIT-Sahalia, Yacine, JACOD, Jean

المؤلفون: Nakakita, Makoto, Nakatsuma, Teruo

مصطلحات موضوعية: ddc:330, Bayesian inference, high-frequency financial time series, intraday seasonality, Markov chain Monte Carlo, stochastic volatility

Relation: gbv-ppn:1759773085; Journal: Journal of Risk and Financial Management; Volume: 14; Year: 2021; Issue: 4; Pages: 1-29; Basel: MDPI; http://hdl.handle.net/10419/239561

الاتاحة: http://hdl.handle.net/10419/239561
https://doi.org/10.3390/jrfm14040145

المؤلفون: Bolin Lei, Boyu Zhang, Yuping Song

المصدر: Mathematics; Volume 9; Issue 4; Pages: 320

مصطلحات موضوعية: High-frequency Financial Data, Deep Learning Model, Baidu Search Index, Realized Volatility, Investor Attention

وصف الملف: application/pdf

Relation: Financial Mathematics; https://dx.doi.org/10.3390/math9040320

الاتاحة: https://doi.org/10.3390/math9040320

المؤلفون: Takase, Yusuke

المصدر: 経営研究. 73(4):83-109

مصطلحات موضوعية: Future Distribution Forecasting, High-frequency Financial Data, Parallel Processing, Asset Price Dynamics, Kernel Density Estimation

URL الوصول: https://explore.openaire.eu/search/publication?articleId=jairo_______::cacc34d914e2b84fb93a3e14ae11724a
https://dlisv03.media.osaka-cu.ac.jp/il/meta_pub/G0000438repository_04515986-73-4-83

المؤلفون: Cunha, Danúbia R., Vila, Roberto, Saulo, Helton, Fernandez, Rodrigo Nobre

مصطلحات موضوعية: ddc:330, C51, C52, C53, ACD models, Box-Cox transformation, generalized Birnbaum-Saunders distributions, goodness-of-fit, high-frequency financial data

Relation: gbv-ppn:1692289314; Journal: Journal of Risk and Financial Management; Volume: 13; Year: 2020; Issue: 3; Pages: 1-20; Basel: MDPI; http://hdl.handle.net/10419/239135

الاتاحة: http://hdl.handle.net/10419/239135
https://doi.org/10.3390/jrfm13030045

المؤلفون: Timothy Idowu, Zhengjun Zhang

المصدر: Statistical Theory and Related Fields, Vol 1, Iss 1, Pp 92-111 (2017)

مصطلحات موضوعية: extreme value theory, max-stable processes, time series, bayesian inference, max-linear models, high-frequency financial data, Probabilities. Mathematical statistics, QA273-280

وصف الملف: electronic resource

Relation: https://doaj.org/toc/2475-4269; https://doaj.org/toc/2475-4277

URL الوصول: https://doaj.org/article/f407f462c6694aea905fa7aa48de3f97

المؤلفون: Marco Corazza, Cira Perna, Claudio Pizzi, Marilena Sibillo

المساهمون: Corazza, Marco, Perna, Cira, Pizzi, Claudio, Sibillo, Marilena., Sibillo, Marilena

مصطلحات موضوعية: Actuarial model, Analysis of high-frequency financial data, Behavioural finance, Carbon and green finance, Credit risk methods and model, Dynamic optimization in finance, Financial econometric, Forecasting of dynamical actuarial and financial phenomena, Fund performance evaluation, Insurance portfolio risk analysi, Interest rate model, Longevity risk: Machine learning and soft computing in finance, Management in insurance busine, Models and methods for financial time series analysi, Models for financial derivative, Multivariate techniques for financial markets analysi, Neural networks in insurance, Optimization in insurance, Pricing, Probability in actuarial sciences, insurance and finance, Real-world finance, Risk management, Solvency analysi, Sovereign risk, Static and dynamic portfolio selection and management, Trading systems, Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e Finanziarie, Settore SECS-S/03 - Statistica Economica

وصف الملف: STAMPA

Relation: info:eu-repo/semantics/altIdentifier/isbn/978-3-030-99637-6; ispartofbook:Mathematical and Statistical Methods for Actuarial Sciences and Finance. MAF 2022; firstpage:1; lastpage:443; numberofpages:443; alleditors:Corazza, Marco; Perna, Cira; Pizzi, Claudio; Sibillo, Marilena.; http://hdl.handle.net/10278/3756806; https://link.springer.com/book/10.1007/978-3-030-99638-3

الاتاحة: http://hdl.handle.net/10278/3756806
https://doi.org/10.1007/978-3-030-99638-3
https://link.springer.com/book/10.1007/978-3-030-99638-3