high-frequency data
Top PDF high-frequency data:
Correcting the Errors : A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
... from high-frequency half-hourly, or h=1/48, spot exchange rates for the ...the high-frequency data (both with and without corrections for the pronounced intradaily seasonal pattern in ...
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Efficient estimation using the characteristic function : theory and applications with high frequency data
... Mots-Clés: Integrated Volatility, Method of Moment, Microstructure Noise, Realized Kernel, Shrinkage. 1.1 Introduction Since the theoretical works by Jacod (1994), Jacod and Protter (1998) and Barndor¤-Nielsen and ...
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Empirical Analysis of Jumps Contribution to Volatility Forecasting Using High Frequency Data
... using high frequency data, whether jumps help or not to improve volatility forecasting by comparing the results of two models: the Heterogeneous Autoregressive model of Realized Volatility (HAR-RV), ...
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Bootstrapping high frequency data
... i.i.d. Under these assumptions, the pre-averaged returns are asymptotically independent and play the role of the original returns in the realized volatility estimator when no market microstructure noise exists. ...
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From high frequency data information : four empiricals investigations on risks measurements and asset pricing models
... Cette partie est ` a rapprocher des travaux de Gottlieb et Kalay (1985) et de Amilon et Bystr¨ om (2000) qui s’interrogent sur les effets de la pr´ esence de ce type de ph´ enom` ene sur [r] ...
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Correcting the Errors: A Note on Volatility Forecast Evaluation Based on High-Frequency Data and Realized Volatilities
... through any forecast evaluation criterion that simply uses the realized volatility in place of the true (latent) integrated volatility. Although this bias may be large (Andersen and Bollerslev, 1998), it is almost ...
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Ecological Functioning of the Seine River: From Long-Term Modelling Approaches to High-Frequency Data Analysis
... Josette Garnier, Audrey Marescaux, Sophie Guillon, Lauriane Vilmin, Vincent Rocher, Gilles Billen, Vincent Thieu, Marie Silvestre, Paul Passy, Mélanie. Raimonet, et al[r] ...
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The Great Synchronisation : tracking the trade collapse with high-frequency data
... There are two leading explanations for the remarkable synchronicity. The first con- cerns international supply chains, the second concerns the ultimate cause of the Great Recession. The profound internationalisation of ...
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OPTIMIZATION AND STATISTICAL METHODS FOR HIGH FREQUENCY FINANCE
... real data leads to a negative value of α, meaning that the stock price exhibits a short-term mean-reversion, which is a well-known stylized fact about high-frequency data, also called ...
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Measuring and Forecasting the Daily Variance Based on High-Frequency Intraday and Electronic Data
... to our high frequency data. Consequently, by applying this model to different variance measures, we can obtain different series of predicted data that can be used to evaluate the forecasting ...
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On the high frequency limit of the LLL equation
... 3.3. Transfer to high frequencies. The interactions between different frequencies, say s and 2s, are always damped by a coefficient 2 1 λs . It suggests that any transfer of energy to high frequencies can ...
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Design, implementation, and evaluation of high-efficiency high-power radio-frequency inductors
... solenoid. If these reluctances are equal, they sustain the same MMF drop and hence the same 𝐻 = 𝑑(𝑀 𝑀 𝐹 ) 𝑑𝑙 on both sides of the wire, yielding two layers of conduction. An ANSYS finite element simulation [1] ...
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High frequency laser-ultrasonics
... usual frequency bandwidth of laser-ultrasonics is in most cases of order 1 to 30 ...of high frequency laser-ultrasonics will be illustrated with measurements in aluminum foil and sheet, fused quartz, ...
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A communication analysis of high-frequency ionospheric scattering
... Two orthog- onal waveforms are used, and the receiver makes an estimate of the path structure of the channel by crosscorrelating the sum of the two possible signa[r] ...
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Improved Regional Frequency Analysis of rainfall data
... 5. Conclusion Our main goal in this work was to show that a simple and fast clustering approach based on an in- terpretable ratio could highlight climatologically coherent regions. One advantage is that this method is ...
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View of High Frequency Oscillation: The End?
... drome (ARDS). This potentially harmful technique has been enthusiastically promoted by some teams until two high-quality randomized clinical trials on ARDS in adults caused the ruin of this house of cards. Indeed, ...
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High frequency (>30 MHz) flexible broadband transducers
... The center frequency varied depending on the substrate material as seen in Figs. 2-4 (b). This is probably due to the different resonant conditions determined by the UT configuration with multiple layers, and the ...
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Frequency approach for detecting nonstationarity in dependent data
... 4.2 Empirical size and power evaluation Fundamentally, the statistics Q n,m (s, 1/2) depend on the choice of the bandwidth parameter m and the number of Fourier frequencies s. Our strategy is to calibrate m, s in order ...
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Heating and high frequency nonlinearities in the surface impedance of high Tc superconductors
... resonance frequency is the direct consequence of the increase with temperature of the dielectric constant ǫ(T ) of ...resonant frequency is much weaker than that of ...resonator’s frequency from that ...
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HIGH FREQUENCY GRAVITATIONAL WAVES GENERATION IN LASER PLASMA INTERACTION
... Another GW source is a thin foil accelerated by a high ablation pressure pro- duced by the laser heating and ablation. 7 In this case, the quadrupolar mass mo- mentum writes: Q zz (t) ' M z 2 , where M is the ...
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