Zobrazeno 1 - 10
of 80
pro vyhledávání: '"Hounyo, Ulrich"'
The association between log-price increments of exchange-traded equities, as measured by their spot correlation estimated from high-frequency data, exhibits a pronounced upward-sloping and almost piecewise linear relationship at the intraday horizon.
Externí odkaz:
http://arxiv.org/abs/2408.02757
Publikováno v:
In Energy Economics October 2024 138
Autor:
Hounyo, Ulrich, Lahiri, Kajal
Publikováno v:
In Journal of Econometrics February 2023 232(2):445-468
Publikováno v:
Scandinavian Journal of Statistics 2018, Vol. 46, No. 1, 329-359
We introduce a bootstrap procedure for high-frequency statistics of Brownian semistationary processes. More specifically, we focus on a hypothesis test on the roughness of sample paths of Brownian semistationary processes, which uses an estimator bas
Externí odkaz:
http://arxiv.org/abs/1605.00868
Autor:
Gonçalves, Sílvia1 (AUTHOR), Hounyo, Ulrich2 (AUTHOR), Patton, Andrew J.3 (AUTHOR), Sheppard, Kevin4 (AUTHOR)
Publikováno v:
Journal of Business & Economic Statistics. Jul2023, Vol. 41 Issue 3, p683-694. 12p.
Autor:
Hounyo, Ulrich1 (AUTHOR) khounyo@albany.edu, Liu, Zhi2 (AUTHOR) liuzhi@um.edu.mo, Varneskov, Rasmus T.3,4 (AUTHOR) rtv.fi@cbs.dk
Publikováno v:
Quantitative Economics. Jul2023, Vol. 14 Issue 3, p1059-1103. 45p.
Autor:
Hounyo, Ulrich, Varneskov, Rasmus T.
Publikováno v:
In Journal of Econometrics March 2020 215(1):1-34
Autor:
HOUNYO, ULRICH (AUTHOR) khounyo@albany.edu, LAHIRI, KAJAL (AUTHOR) klahiri@albany.edu
Publikováno v:
Journal of Money, Credit & Banking (John Wiley & Sons, Inc.). Mar/Apr2023, Vol. 55 Issue 2/3, p577-593. 17p.
Publikováno v:
In Journal of Econometrics August 2018 205(2):336-362
Publikováno v:
Econometric Theory, 2017 Aug 01. 33(4), 791-838.
Externí odkaz:
https://www.jstor.org/stable/26357727