High-Frequency Econometrics is a branch of econometrics that specializes in the development and application of statistical methods for modeling and inference from financial data observed at very high frequencies, typically characterized by irregular spacing, large dimensionality, and the need to account for market microstructure effects.
245
Publications
18.6K
Citations
437
Authors
315
Institutions
Publications per year
2017–2026
53
Parents
Publications
245
1–5 of 245
Authors
437
- NH
6
h-index
- YA
6
h-index
- ÉGÉric Ghysels
University of North Carolina at Chapel Hill, United States
5 publications · 394 citations
5
h-index
- NS
4
h-index
- KA
4
h-index
1–5 of 437
Institutions
315
Duke University
Durham, United States
7 h-index
12 publications
1.2K citations
Aarhus University
Aarhus, Denmark
7 h-index
8 publications
1.4K citations
University of Chicago
Chicago, United States
7 h-index
10 publications
922 citations
University of Wisconsin–Madison
Madison, United States
7 h-index
10 publications
480 citations
Bank of Canada
Ottawa, Canada
4 h-index
5 publications
360 citations
University of Vienna
Vienna, Austria
4 h-index
5 publications
68 citations
University of Oxford
Oxford, United Kingdom
4 h-index
4 publications
1.2K citations
University of Florence
Florence, Italy
4 h-index
5 publications
672 citations
1–8 of 315
Venues
- Journal of Econometrics
18 publications · 3K citations
17
h-index
- SSRN Electronic Journal
Repository · 28 publications · 995 citations
16
h-index
- Physica A Statistical Mechanics and its Applications
21 publications · 1K citations
15
h-index
- Quantitative Finance
11 publications · 1.3K citations
10
h-index
- Journal of Financial Econometrics
9 publications · 387 citations
9
h-index
1–5