Zobrazeno 1 - 10
of 4 061
pro vyhledávání: '"High-frequency Data"'
Publikováno v:
Cogent Economics & Finance, Vol 12, Iss 1 (2024)
The aim of this paper is to assess whether the availability of high-frequency data enhances the accuracy of extreme market risk estimation in comparison to low-frequency data by using Value-at-risk (VaR) and Expected shortfall (ES). The sample data u
Externí odkaz:
https://doaj.org/article/d0fca4863d3b468ab540a5bebe797f4c
Autor:
Guglielmo Maria Caporale, Alex Plastun
Publikováno v:
Cogent Economics & Finance, Vol 12, Iss 1 (2024)
AbstractDifferences in the behaviour of asset prices depending on data frequency have not been thoroughly investigated in the literature despite their possible importance. In particular, high-frequency data might contain more information about financ
Externí odkaz:
https://doaj.org/article/2ee761231df844d0b5b686a88081f164
Autor:
Sofie Gyritia Madsen van't Veen, Joachim Audet, Eti Ester Levi, Brian Kronvang, Søren Erik Larsen, Erik Jeppesen, Esben Astrup Kristensen, Anders Nielsen, Thomas Alexander Davidson, Jane Rosenstand Laugesen, Peter Mejlhede Andersen
Publikováno v:
Open Research Europe, Vol 4 (2024)
The growing use of sensors in fresh waters for water quality measurements generates an increasingly large amount of data that requires quality assurance (QA)/quality control (QC) before the results can be exploited. Such a process is often resource-i
Externí odkaz:
https://doaj.org/article/1816ce689f1c45aaa50948682fe4d1a5
Publikováno v:
Open Research Europe, Vol 4 (2024)
Harmful algal blooms (HABs) are a significant threat to freshwater ecosystems, and monitoring for changes in biomass is therefore important. Fluorescence in-situ sensors enable rapid and high frequency real-time data collection and have been widely u
Externí odkaz:
https://doaj.org/article/50095435a98443708870cab0f9e449a1
Publikováno v:
Forecasting, Vol 6, Iss 2, Pp 434-455 (2024)
Forecasting returns in financial markets is notoriously challenging due to the resemblance of price changes to white noise. In this paper, we propose novel methods to address this challenge. Employing high-frequency Brazilian stock market data at one
Externí odkaz:
https://doaj.org/article/ab6de20e09744e5788ac4f78a78a2e80
Publikováno v:
Financial Innovation, Vol 10, Iss 1, Pp 1-31 (2024)
Abstract As the crypto-asset ecosystem matures, the use of high-frequency data has become increasingly common in decentralized finance literature. Using bibliometric analysis, we characterize the existing cryptocurrency literature that employs high-f
Externí odkaz:
https://doaj.org/article/b26842d5f1c3452a9996a8f969df2fa6
Publikováno v:
Ecological Informatics, Vol 82, Iss , Pp 102735- (2024)
Advancements in data availability, including high frequency, near real-time multiparameter sensors, laboratory analysis, and in-situ and remote observations, have driven the development of machine learning (ML) models for applications such as toxic H
Externí odkaz:
https://doaj.org/article/e920438120db4aa389e4c576c447c6b9
Publikováno v:
Review of Behavioral Finance, 2023, Vol. 16, Issue 1, pp. 39-59.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/RBF-06-2022-0151
Publikováno v:
In Stochastic Processes and their Applications March 2025 181
Publikováno v:
Modern Stochastics: Theory and Applications, Vol 11, Iss 2, Pp 149-168 (2024)
A novel theoretical result on estimation of the local time and the occupation time measure of an α-stable Lévy process with $\alpha \in (1,2)$ is presented. The approach is based upon computing the conditional expectation of the desired quantities
Externí odkaz:
https://doaj.org/article/8bb0fe715e974ac59e7b845f26041ec1