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Econometrics of Financial High-Frequency Data 2012
189 个回复 - 20005 次查看　回复＋6币广告链接：统计学:数据的解读和分析(7e)Statistics: The Exploration & Analysis of Data http://bbs.pinggu.org/forum.php?mod=viewthread&tid=1406909&page=1&extra=#pid1248549 ...2012-3-25 10:09 - lyxxxz - 经管书评

CHAPTER 7 - Analysis of High-Frequency Data
1 个回复 - 323 次查看【作者(必填)】【文题(必填)】 CHAPTER 7 - Analysis of High-Frequency Data 【年份(必填)】【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/article/pii/B97804445089735001092022-6-21 23:59 - ticket1988 - 求助成功区

Analysis of High Frequency Data in Finance: A Survey
1 个回复 - 375 次查看【作者(必填)】【文题(必填)】 Analysis of High Frequency Data in Finance: A Survey 【年份(必填)】【全文链接或数据库名称(选填)】https://ideas.repec.org/a/fec/journl/v15y2020i2p141-166.html2022-6-22 00:06 - ticket1988 - 求助成功区

Robust Estimation and Inference for Jumps in Noisy High Frequency Data
3 个回复 - 1261 次查看【作者(必填)】 Jia Li （需Econometrica正式出版版本）【文题(必填)】 Robust Estimation and Inference for Jumps in Noisy High Frequency Data: a Local-to-Continuity Theory for the Pre-averaging Method ...2014-6-9 16:17 - pan1111111 - 求助成功区

Testing constant factor loading matrix using large panel high-frequency data
3 个回复 - 408 次查看【作者(必填)】Xin-BingKong ChengLiu 【文题(必填)】Testing constant factor loading matrix using large panel high-frequency data 【年份(必填)】2018 【全文链接或数据库名称(选填)】2020-1-29 22:09 - 我来了 - 求助成功区

Macroeconomic forecasting with mixed-frequency data
4 个回复 - 736 次查看【作者(必填)】Michael P. Clements and Ana Beatriz Galv?o 【文题(必填)】Macroeconomic Forecasting with Mixed-Frequency Data: Forecasting Output Growth in the United States 【年份(必填)】2008 【全 ...2019-3-24 19:34 - Maple24246 - 求助成功区

Modelling and Forecasting High Frequency Financial Data-2015
8 个回复 - 2011 次查看 https://www.amazon.com/Modelling-Forecasting-High-Frequency-Financial/dp/1137396482/ref=sr_1_20?s=books&ie=UTF8&qid=1517308104&sr=1-20&keywords=high+frequency+trading This book provides a comprehensi ...2018-1-30 20:06 - cqiao - 金融学（理论版）

Handbook of Modeling High-Frequency Data in Finance [高清]
1 个回复 - 1148 次查看 Handbook of Modeling High-Frequency Data in Finance (Wiley Handbooks in Financial Engineering and Econometrics) Author(s): Frederi G. Viens, Maria C. Mariani, Ionut Florescu Publisher: Wiley, Ye ...2018-2-2 07:24 - ka-ka - 金融学（理论版）

A markov chain estimator of multivariate volatility from high frequency data
3 个回复 - 746 次查看【作者(必填)】 Anne Floor Brix, Asger Lunde 【文题(必填)】 A markov chain estimator of multivariate volatility from high frequency data 【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://l ...2016-6-7 17:11 - bkjg - 求助成功区

金融高频数据建模手册Handbook of Modeling High-Frequency Data in Finance
325 个回复 - 24459 次查看 2012新书金融高频数据建模手册 Frederi G. Viens, Maria C. Mariani "Handbook of Modeling High-Frequency Data in Finance" ISBN: 0470876883 | 2012 | PDF | 456 pages | 5 MB 收费：6币。手册 ...2012-4-9 10:59 - onceonce - 经管书评

高频交易计量方法教材——Econometrics of Financial High-Frequency Data（2012）
403 个回复 - 28897 次查看 **** 本内容被作者隐藏 **** Econometrics of Financial High-Frequency Data，该书介绍了高频交易的中数据的解读以及近几年中所涉及的计量方法，还不错！玩高频交易的可以参考一下！2012-7-1 20:40 - yangweiamss - 经管书评

求 Leverage effect in high-frequency data with market microstructure[
0 个回复 - 417 次查看【作者(必填)】Yuan H, Mu Y, Zhou Y. 【文题(必填)】 Leverage effect in high-frequency data with market microstructure 【年份(必填)】2020 【全文链接或数据库名称(选填)】Statistics and Its Interf ...2020-1-11 21:26 - 地下爆菊 - 文献求助专区

Forecasting Value-at-Risk using high frequency data: The realized range model
3 个回复 - 636 次查看【作者(必填)】Xi-DongShaoa[/backcolor]Yu-JunLianb[/backcolor]Lian-QianYin[/backcolor] 【文题(必填)】Forecasting Value-at-Risk using high frequency data: The realized range model 【年份(必填)】20 ...2019-1-4 22:51 - Alicefree - 求助成功区

Dependence structures for multivariate high-frequency data in finance
1 个回复 - 691 次查看【作者(必填)】 23 【文题(必填)】 Dependence structures for multivariate high-frequency data in finance【年份(必填)】 23 【全文链接或数据库名称(选填)】https://www.tandfonline.com/doi/abs/10.1080/7 ...2018-8-23 12:17 - internet.hzx - 求助成功区

Extreme co-movements and extreme impacts in high frequency data in finance
1 个回复 - 468 次查看【作者(必填)】 3 【文题(必填)】 Extreme co-movements and extreme impacts in high frequency data in finance【年份(必填)】 3 【全文链接或数据库名称(选填)】https://www.sciencedirect.com/science/arti ...2018-8-22 20:22 - internet.hzx - 求助成功区

【推荐】Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance
85 个回复 - 10734 次查看 Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance 高清电子PDF版，下载地址 http://bbs.pinggu.org/thread-1398389-1-1.html2012-3-24 10:50 - lyxxxz - 会计与财务管理

Handbook of Modeling High-Frequency Data in Finance
6 个回复 - 2412 次查看 In recent years, the availability of high-frequency data and advances in computing have allowed financial practitioners to design systems that can handle and analyze this information. Handbook of Mode ...2014-12-17 08:45 - dong1104 - 计量经济学与统计软件

Wiley电子书一本Handbook of Modeling High-Frequency Data in Finance
14 个回复 - 3900 次查看【作者(必填)】 Frederi G. Viens, Maria C. Mariani, Ionut Florescu 【文题(必填)】 Handbook of Modeling High-Frequency Data in Finance 【年份(必填)】 2011 【全文链接或数据库名称(选填)】 http://on ...2012-3-22 14:22 - waterup - 求助成功区

Data Mining in Large Frequency Tables, with an Application to the FDA Spont..
0 个回复 - 580 次查看摘要：(1999). Bayesian data mining in large frequency tables, with an application to the FDA spontaneous reporting system. The American Statistician, 53, 177 - 190.DUMOUCHEL, W. 1999. Bayesian data mi ...2018-1-11 06:00 - AIworld - 人工智能论文版

【20币求助】Use of historical data in flood frequency analysis
8 个回复 - 740 次查看【作者(必填)】Kolbjørn Engeland, Donna Wilson, Péter Borsányi, Lars Roald, Erik Holmqvist 【文题(必填)】Use of historical data in flood frequency analysis: A case study for four catchments i ...2017-12-21 15:38 - xiaoleige1 - 求助成功区

Principal Component Analysis of High Frequency Data
8 个回复 - 972 次查看【作者(必填)】 Yacine Aït-Sahalia[/backcolor] 【文题(必填)】Principal Component Analysis of High Frequency Data 【年份(必填)】2017 【全文链接或数据库名称(选填)】http://www.tandfonline.com/d ...2017-12-17 16:25 - xmok77 - 求助成功区

A ST-CRF map-matching method for low-frequency floating car data
1 个回复 - 565 次查看【作者(必填)】 Xiliang Liu 【文题(必填)】 A ST-CRF map-matching method for low-frequency floating car data 【年份(必填)】 2017 【全文链接或数据库名称(选填)】http://ieeexplore.ieee.org/document/ ...2017-10-29 09:11 - peterxu1969 - 求助成功区

Robust Estimation and Inference for Jumps in Noisy High Frequency Data
4 个回复 - 964 次查看【作者(必填)】 Jia Li 【文题(必填)】Robust Estimation and Inference for Jumps in Noisy High Frequency Data: A Local-to-Continuity Theory for the Pre-Averaging Method 【年份(必填)】2013 【全文链 ...2014-10-4 11:12 - 时间的背影 - 求助成功区

Dynamic copula models and high frequency data
1 个回复 - 470 次查看【作者(必填)】 IrvingDe Lira Salvatierra. Author links open the author workspace.Andrew J.Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】 2015 【全文链接或数据库 ...2017-7-31 22:35 - internet.hzx - 求助成功区

Dynamic copula models and high frequency data（ELSEVIER版本）
1 个回复 - 561 次查看【作者(必填)】 IrvingDe Lira Salvatierra. Author links open the author workspace.Andrew J.Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】2015 【全文链接或数据库 ...2017-7-11 09:43 - internet.hzx - 求助成功区

Dynamic copula models and high frequency data
2 个回复 - 545 次查看【作者(必填)】 IDL Salvatierra， AJ Patton 【文题(必填)】 Dynamic copula models and high frequency data【年份(必填)】 2015 【全文链接或数据库名称(选填)】http://xueshu.baidu.com/s?wd=paperuri%3A%2 ...2017-7-10 18:03 - internet.hzx - 求助成功区

算法与高频交易Econometrics of Financial High-Frequency Data
3 个回复 - 2860 次查看对交易微观结构介绍很全面的一本书，以及如何处理高频数据，如何建模。2017-6-4 16:24 - Belindalan - 量化投资

High-dimensional copula-based distributions with mixed frequency data
2 个回复 - 883 次查看【作者(必填)】 Dong Hwan Oha, , Andrew J. Patton 【文题(必填)】 High-dimensional copula-based distributions with mixed frequency data【年份(必填)】 2016 【全文链接或数据库名称(选填)】http://xuesh ...2017-4-19 17:08 - internet.hzx - 求助成功区

Assessment of Uncertainty in High Frequency Data
1 个回复 - 603 次查看【作者(必填)】 Per A. Mykland, Lan Zhang 【文题(必填)】 Assessment of Uncertainty in High Frequency Data: The Observed Asymptotic Variance 【年份(必填)】 2017 【全文链接或数据库名称(选填)】Econo ...2017-2-2 17:15 - shanxianmin2011 - 文献求助专区

求助Springer的一本书《Econometrics of Financial High-Frequency Data》
7 个回复 - 2154 次查看请牛人帮忙！【题名】： Econometrics of Financial High-Frequency Data 【作者】： Hautsch, Nikolaus 【期刊、会议、单位名称】：施普林格Econometrics / Statistics系列【年, 卷(期), 起止页码】：2012年 ...2011-12-5 00:24 - cy_xiaoxiao - 求助成功区

分享书籍Econometrics of Financial High Frequency Data
11 个回复 - 2885 次查看分享书籍Econometrics of Financial High Frequency Data [Hautsch,N. 2012]2015-10-22 22:38 - yuwen820523 - 经济金融数学专区

Macroeconomics and the reality of mixed frequency data (J. Econometrics, 2016)
3 个回复 - 1369 次查看《Macroeconomics and the reality of mixed frequency data》发表在2016年Journal of Econometrics上。作者使用新的VAR模型来分析拥有不同頻率的时间序列数据之间的联动性。简介 Many time series are ...2016-10-30 11:34 - DuShu16 - 经济统计专版

Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Envir
1 个回复 - 708 次查看【作者(必填)】Marie Bessec, Othman Bouabdallah 【文题(必填)】Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Environment 【年份(必填)】2014 【全文链接或数据库名称(选 ...2016-9-28 21:39 - qianhaoqi - 求助成功区

求duke论文一篇Three Essays on High-Frequency and High-Dimensional Financial Data
2 个回复 - 977 次查看【作者(必填)】 Li, Zhengzi 【文题(必填)】 Three Essays on High-Frequency and High-Dimensional Financial Data Analysis 【年份(必填)】 2013 【全文链接或数据库名称(选填)】 http://dukespace.lib.du ...2013-11-22 17:08 - waterup - 求助成功区

On the intraday periodicity duration adjustment of high_frequency data
2 个回复 - 835 次查看【作者(必填)】Wu Zhengxiao 【文题(必填)】On the intraday periodicity duration adjustment of high_frequency data 【年份(必填)】2012 【全文链接或数据库名称(选填)】2016-7-20 11:09 - 三世相思2013 - 求助成功区

Econometric Forecasting And High-Frequency Data Analysis
4 个回复 - 2660 次查看 Econometric Forecasting And High-Frequency Data Analysis (Lecture Notes Seres, Institute for Mathematical Sciences National University of Singapore) (Hardcover)by Roberto S. Mariano (Author, Editor), ...2009-8-2 10:06 - martinnyj - 金融学（理论版）

On the Calculation of the most Probable Values of Frequency-Constants, for Data
1 个回复 - 751 次查看【作者(必填)】 WF Sheppard 【文题(必填)】 On the Calculation of the most Probable Values of Frequency-Constants, for Data arranged according to Equidistant Division of a Scale【年份(必填)】 1897 ...2016-5-12 09:42 - internet.hzx - 求助成功区

Modelling and Forecasting High Frequency Financial Data
1 个回复 - 1046 次查看【作者(必填)】Degiannakis, Stavros, Floros, Christos 【文题(必填)】Modelling and Forecasting High Frequency Financial Data 【年份(必填)】2015 【全文链接或数据库名称(选填)】2016-2-12 14:49 - 安安岳 - 求助成功区

[高频数据案例研究]Density Estimation of High-Frequency Financial Data
71 个回复 - 8132 次查看 Frequently we will want to estimate the empirical probability density function of real-world data and compare it to the theoretical density from one or more probability distributions. The following ex ...2015-3-20 08:28 - ReneeBK - 量化投资

高频交易资料The Econometrics of High Frequency Data
2 个回复 - 1560 次查看 The Econometrics of High Frequency Data2015-2-11 17:25 - hyangcheng - 金融学（理论版）

projecteuclid Testing for pure-jump processes for high-frequency data
1 个回复 - 581 次查看【作者(必填)】Xin-Bing Kong, Zhi Liu, and Bing-Yi Jing 【文题(必填)】Testing for pure-jump processes for high-frequency data 【年份(必填)】2015 【全文链接或数据库名称(选填)】http://projecteuc ...2015-3-28 21:20 - 352693585 - 求助成功区

projecteuclid Modeling high-frequency financial data by pure jump processes
1 个回复 - 966 次查看【作者(必填)】Bing-Yi Jing, Xin-Bing Kong, and Zhi Liu 【文题(必填)】Modeling high-frequency financial data by pure jump processes 【年份(必填)】2012 【全文链接或数据库名称(选填)】http://proj ...2014-10-14 10:14 - 352693585 - 求助成功区

Patterns in high-frequency FX data: discovery of 12 empirical scaling laws
2 个回复 - 1200 次查看【作者(必填)】【文题(必填)】 Patterns in high-frequency FX data: discovery of 12 empirical scaling lawsJB Glattfelder, A Dupuis, RB Olsen - Quantitative Finance, 2011 - Taylor & Francis 【年份(必 ...2014-8-16 17:38 - 金融坦然 - 文献求助专区

Measuring Downside Risk Using High-Frequency Data: Realized Downside Risk Measu
2 个回复 - 1121 次查看【作者(必填)】【文题(必填)】Measuring Downside[/backcolor] Risk[/backcolor] Using High-Frequency Data: Realized Downside[/backcolor] Risk[/backcolor] Measure[/backcolor]作者: Bi, Tao; Zhang, Bo; W ...2014-7-9 10:13 - 金融坦然 - 求助成功区

Ising type models applied to Geophysics and high frequency market data
1 个回复 - 695 次查看【作者(必填)】 I. Florescuc 【文题(必填)】 Ising type models applied to Geophysics and high frequency market data【年份(必填)】 2011 【全文链接或数据库名称(选填)】http://www.sciencedirect.com/sci ...2014-2-9 20:12 - qijiongli - 求助成功区

【学术资料】Forecasting Value-at-Risk using high frequency data
0 个回复 - 657 次查看我在2009年发表的风险管理-在险价值文献一篇；摘要：Current studies on financial market risk measures usually use daily returns based on GARCH type models. This paper models realized range using intr ...2013-10-13 00:22 - yinlianqian - 殷炼乾-暨南大学国际商学院

Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Meas
1 个回复 - 639 次查看【作者(必填)】【文题(必填)】Forecasting the FTSE 100 with High-Frequency Data: A Comparison of Realized Measures Oleg Komarov 【年份(必填)】【全文链接或数据库名称(选填)】2013-8-30 08:56 - 金融坦然 - 求助成功区

Computing value at risk with high frequency data
1 个回复 - 2562 次查看 <BR>just for free2007-5-5 06:58 - anran841025 - EViews专版

High-Frequency Data Analysis
2 个回复 - 1589 次查看 2012-5-14 13:33 - yingying198995 - 经济金融数学专区

High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data
1 个回复 - 1380 次查看【作者(必填)】 Aït-Sahalia, Y. Fan, J. Xiu, D. 【文题(必填)】 High-Frequency Covariance Estimates With Noisy and Asynchronous Financial Data 【年份(必填)】 2010 【全文链接或数据库名称 ...2011-12-24 13:32 - sqq19860225 - 求助成功区

The Power of Cointegration Tests versus Data Frequency and Time Spans
2 个回复 - 1895 次查看 2007-8-23 10:27 - xuehe - 计量经济学与统计软件

The effect of the frequency of holding data on conclusions about mutual fund ma
2 个回复 - 1014 次查看 The effect of the frequency of holding data on conclusions about mutual fund management behavior EJ Elton, MJ Gruber, CR Blake… - Journal of Banking …, 2010 - papers.ssrn.com 谢谢了 ...2011-11-7 09:25 - 金融坦然 - 求助成功区

Volatility Estimation Based on High-Frequency Data
0 个回复 - 1029 次查看 Volatility Estimation Based on High-Frequency Data ，关于高频金融数据的一篇很好的综述，有兴趣的可以下载，一定非常有用！！！！！2011-11-5 00:54 - yangke74 - 计量经济学与统计软件

High-Frequency Financial Data with S-Plus
16 个回复 - 6741 次查看 1.Paper : Analysis of High-Frequency Financial Data with S-Plus 3.58Mb,41 pages 2.S-plus scripts : HFLibrary.ssc , HFAnalysis.ssc 3.Dataset:eur_usd.txt, quote_ge ...2006-11-26 15:40 - yiyo900 - R语言论坛

High frequency data in financial markets: Issues and applications by O Hara
1 个回复 - 3445 次查看 High frequency data in financial markets: Issues and applications Authors: Goodhart CAE; O'Hara M. Source: Journal of Empirical Finance, June 1997 Abstract: The development of high frequency ...2006-3-4 11:37 - guitarman - 数据交流中心

求文献一篇，Computing value at risk with high frequency data
3 个回复 - 2361 次查看链接地址： http://www.sciencedirect.com/science/article/B6VFG-405KF8G-2/2/46a8ad35b04677fa837471ac15794ae2 如果谁可以帮我下载赠送论坛币100，直接回帖上传，发出售贴。2005-9-26 10:14 - westcfa - 计量经济学与统计软件

[下载]Research paper: high frequency data
2 个回复 - 3028 次查看 Abstract We compare the computation of value at risk with daily and with high frequency data for the Deutsche mark–US dollar exchange rate. Among the main points considered in the paper are: (a) ...2005-3-9 07:27 - hanszhu - 计量经济学与统计软件

A frequency stability criterion for a class of non-linear sample-data systems
1 个回复 - 908 次查看 A frequency stability criterion for a class of non-linear sample-data systems with pure delay J. I. SOLIMAN, H. KWOH International Journal of Control,Volume 7, Issue 6, June 1968, pages 579-589 ht ...2011-7-25 19:06 - chaoyang712 - 文献求助专区

求The Foreign Exchange Market : Empirical Studies with High-frequency Data
1 个回复 - 1361 次查看求Charles A.E. Goodhart 的The Foreign Exchange Market : Empirical Studies with High-frequency Data 英文书。如果有纸介的也可以。价格再议。可回复2010-11-12 10:17 - jcx350 - 计量经济学与统计软件

高频数据(high frequency data)
2 个回复 - 5006 次查看请问各位中国哪些金融市场有高频率数据？2008-3-3 20:19 - mrbusy - 行为经济学与实验经济学

The Impact of Data Frequency On Stationarity Tests Of Commodity Futures Prices
0 个回复 - 238 次查看 2006-4-9 23:24 - 电子商务服务204 - Forum

High frequency data in financial markets: Issues and applications. Authors: Good
0 个回复 - 2574 次查看 High frequency data in financial markets: Issues and applications. Authors: GoodhartCAE; O'Hara M. 1. Source: Journal of Empirical Finance, June 1997 抱歉:请版主删此帖没能传上来,见下帖 http://www. ...2006-3-4 11:21 - guitarman - 数据交流中心

Testing for heteroscedasticity in jumpy and noisy high-frequency data: A re...
0 个回复 - 293 次查看 2004-12-5 16:04 - 单边主义665 - Forum

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