Results for High-frequency data

Publications & Outputs

1. Volatility Modelling with High-Frequency Financial Data on a Continuous Time Scale

   Sofronis, G., 2023, Lancaster University. 315 p.

   Research output: Thesis › Doctoral Thesis

2. Forecasting Realised Volatility Using ARFIMA and HAR Models

   Izzeldin, M., Hassan, M. K., Pappas, V. & Tsionas, M., 1/10/2019, In: Quantitative Finance. 19, 10, p. 1627-1638 12 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review

3. Least Squares inference on integrated volatility and the relationship between efficient Prices and noise

   Nolte, I. & Voev, V., 2012, In: Journal of Business and Economic Statistics. 30, 1, p. 94-108 15 p.

   Research output: Contribution to Journal/Magazine › Journal article › peer-review