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Three Essays on the Econometric Analysis of High Frequency Financial Data
Language: en
Pages: 101

Three Essays on the Econometric Analysis of High Frequency Financial Data

Authors: Roel C. A. Oomen
Categories: Macroeconomics
Type: BOOK - Published: 2003 - Publisher:

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Three Essays on the Econometric Analysis of High-frequency Data
Language: en
Pages: 126

Three Essays on the Econometric Analysis of High-frequency Data

Authors: Peter Malec
Categories:
Type: BOOK - Published: 2013 - Publisher:

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Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior
Language: en
Pages: 398

Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior

Authors:
Categories:
Type: BOOK - Published: 2008 - Publisher:

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Three Essays on Market Microstructure and Financial Econometrics
Language: en
Pages: 0

Three Essays on Market Microstructure and Financial Econometrics

Authors: Yi Xue
Categories: Econometrics
Type: BOOK - Published: 2009 - Publisher:

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This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information dif
Essays on High-frequency Financial Data Analysis
Language: en
Pages: 137

Essays on High-frequency Financial Data Analysis

Authors: Yingjie Dong
Categories: Econometrics
Type: BOOK - Published: 2015 - Publisher:

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"This dissertation consists of three essays on high-frequency financial data analysis. I consider intraday periodicity adjustment and its effect on intraday vol