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Econometric analysis of high frequency data

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  • Helmut Herwartz

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  • Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    • Handle: RePEc:spr:alstar:v:90:y:2006:i:1:p:89-104
    DOI: 10.1007/s10182-006-0223-3
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    35. Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "How accurate is the asymptotic approximation to the distribution of realised volatility?," Economics Papers 2001-W16, Economics Group, Nuffield College, University of Oxford.
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    More about this item

    Keywords

    High frequency data; price discovery; realized volatility. JEL G15; C22;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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