Zobrazeno 1 - 7
of 7
pro vyhledávání: '"Nuria Alemany"'
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
Previous research documents that the distribution of realised volatility appears approximately log-normal. However, formal tests reject normality fairly convincingly, which may indicate intrinsic features in the intraday data series, namely, the pres
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::191a110073ae2bc26df8b6ec9cdff337
https://doi.org/10.1016/j.econmod.2020.08.012
https://doi.org/10.1016/j.econmod.2020.08.012
This article evaluates the usefulness of high-frequency data in optimal portfolio choice. The authors use a comprehensive list of major stock indexes and different frequencies of observations. Furthermore, they consider the impact of economic cycles,
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::09e7b7bc96878ce7b7a8a665a2e40f31
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
This paper analyzes the impact of arbitrage opportunity changes on the price discovery process between the DAX30 index and the DAX30 index future within a short time scale. To this end, we use 5-min data, regime-switching models and the regime-depend
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aab1439b65ced2b639af970c7cb2eff4
https://doi.org/10.1016/j.iref.2020.03.009
https://doi.org/10.1016/j.iref.2020.03.009
Autor:
Nuria Alemany Palomo
Publikováno v:
TDX (Tesis Doctorals en Xarxa)
TDR. Tesis Doctorales en Red
instname
TDR. Tesis Doctorales en Red
instname
With the advent of the new technological era, the development of high-frequency datasets is easier Ihan ever. It has allowed a wide range of empirical investigations regarding the financial markels to deepen lhe understanding on several fields.ln thi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::91c6a1a3f604e7163bcc52ee6dd13fd5
Publikováno v:
Repositori Universitat Jaume I
Universitat Jaume I
Universitat Jaume I
Using data on a five-minute interval basis, this article analyses the effects of intraday seasonality on volatility transmission between the spot and futures markets of the CAC40, DAX30 and FTSE100. Remarkable differences in the impulse response anal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5591a10a1be54984cf3c916384bdee03
Autor:
Ichev, Riste, Marinč, Matej
Publikováno v:
In International Review of Financial Analysis March 2018 56:153-166
Autor:
Van, Nguyen Thi Bich, Vi, On Thuong, Yen, Nguyen Thi Phuong, Nhung, Nguyen Thi, Cuong, Nguyen Van, Kiet, Bach Tuan, Hoang, Nguyen Van, Hien, Vo Be, Thwaites, Guy, Campell, James, Choisy, Marc, Carrique‐Mas, Juan
Publikováno v:
Journal of Applied Microbiology; Feb2022, Vol. 132 Issue 2, p1025-1035, 11p