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Functional prediction of intraday cumulative returns
15 references·0 citing·42 second hop
Functional prediction of intraday cumulative returns (2012)Functional prediction of intraday cumulat…The Econometrics of Financial Markets (2012)The Econometrics of Financial…Nonlinearity in Forecasting of High-Frequency Stock Returns (2011)Nonlinearity in Forecasting o…Making and Evaluating Point Forecasts (2011)Making and Evaluating Point F…Forecasting Performance of Nonlinear Models for Intraday Stock Returns (2011)Forecasting Performance of No…Statistics and Data Analysis for Financial Engineering (2010)Statistics and Data Analysis …Nonlinearity and intraday efficiency tests on energy futures markets (2009)Nonlinearity and intraday eff…Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates (2007)Can the random walk model be …Analysis of Financial Time Series (2006)Analysis of Financial Time Se…Evidence on the speed of convergence to market efficiency (2005)Evidence on the speed of conv…Analysis of Financial Time Series (2005)Analysis of Financial Time Se…Evaluating interval forecasts of high‐frequency financial data (2003)Evaluating interval forecasts…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Intraday periodicity and volatility persistence in financial markets (1997)Intraday periodicity and vola…Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)Heterogeneous Information Arr…From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets (1997)From the bird's eye to the mi…The Variation of Certain Speculative Prices (1963)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Institutional Investors and Stock Market Volatility (2006)Multivariate realised kernels: Consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading (2011)Social physics (2022)Coherent Measures of Risk (1999)A better measure of relative prediction accuracy for model selection and model estimation (2014)Probabilistic Forecasting (2014)Forecasting: theory and practice (2022)Multivariate GARCH models: a surveyThe Pricing of Options and Corporate Liabilities (1973)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Modeling Ordered Choices (2010)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Realized Variance and Market Microstructure Noise (2006)Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Fractional Brownian Motions, Fractional Noises and Applications (1968)The arbitrage theory of capital asset pricing (1976)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Separating microstructure noise from volatility (2005)Parametric and Nonparametric Volatility Measurement (2010)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)Offering versus Choice in 401(k) Plans: Equity Exposure and Number of Funds (2006)Small Trades and the Cross-Section of Stock Returns (2008)Algorithmic Trading and Market Quality: International Evidence (2020)A Signal Processing Perspective on Financial Engineering (2016)The impact of natural disasters on the stock returns and volatilities of local firms (2016)Machine Learning Portfolio Allocation (2020)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)Econophysics review: I. Empirical facts (2011)The impact of the Russian-Ukrainian war on global financial markets (2023)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Introductory Econometrics for Finance (2008)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2006Analysis of Financial Time Series2,348 cited
  • 2005Analysis of Financial Time Series1,350 cited
  • 1997Intraday periodicity and volatility persistence in financial markets1,301 cited
  • 2011Making and Evaluating Point Forecasts1,159 cited
  • 1997Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns649 cited
  • 1997From the bird's eye to the microscope: A survey of new stylized facts of the intra-daily foreign exchange markets522 cited
  • 2005Evidence on the speed of convergence to market efficiency456 cited
  • 2010Statistics and Data Analysis for Financial Engineering262 cited
  • 2009Nonlinearity and intraday efficiency tests on energy futures markets115 cited
  • 2007Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates70 cited
  • 2003Evaluating interval forecasts of high‐frequency financial data58 cited
  • 2011Forecasting Performance of Nonlinear Models for Intraday Stock Returns54 cited
  • 2011Nonlinearity in Forecasting of High-Frequency Stock Returns

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