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Econometric Modelling of Stock Market Intraday Activity · Study

BookEconometric Modelling of Stock Market Intraday Activity

Luc Bauwens2001

Book2001

Econometric Modelling of Stock Market Intraday Activity

Luc Bauwens · Pierre Giot

129 citations·0/0 files stored·Advanced studies in theoretical and applied econometrics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Stochastic processes and financial applications

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2005Market risk models for intraday data 2003Asymmetric ACD models: Introducing price information in ACD models 2003Modelling Security Market Events in Continuous Time: Intensity Based, Multivariate Point Process Models 2005Systematic Features of High-Frequency Volatility in Australian Electricity Markets: Intraday Patterns, Information Arrival and Calendar Effects 2009Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange 2009Automated trading with boosting and expert weighting 2007Algorithmic Trading Patterns in Xetra Orders 2014Long Memory and Periodicity in Intraday Volatility

Details

Year2001

Typebook

Published2001-01-01

VenueAdvanced studies in theoretical and applied econometrics

ISSN-L1570-5811

Languageen

Citations129

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-1-4757-3381-5

openalex_workW1570065356

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