Concepedia

High-frequency Forecasting

High-Frequency Forecasting is a short-term forecasting methodology that specifically leverages densely sampled, high-frequency data to capture rapid temporal dynamics and enable precise, near real-time predictions, distinguishing it from conventional forecasting approaches that operate on lower-frequency or aggregated time series data.

163

Publications

11.2K

Citations

395

Authors

282

Institutions

Publications per year

2017–2026

83

Parents

Publications

163

Predicting volatility: getting the most out of return data sampled at different frequencies

Éric Ghysels, Pedro Santa‐Clara, Rossen Valkanov · Journal of Econometrics · 2005 · 841 citations

, , +14

Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility

Andrew J. Patton, Kevin Sheppard · The Review of Economics and Statistics · 2015 · 784 citations

, , +17

Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes

Lily Y. Liu, Andrew J. Patton, Kevin Sheppard · Journal of Econometrics · 2015 · 580 citations

, , +15

Stock Price Prediction via Discovering Multi-Frequency Trading Patterns

Liheng Zhang, Charų C. Aggarwal, Guo-Jun Qi · 2017 · 433 citations · Full text

, , +17

Macroeconomic Forecasting With Mixed-Frequency Data

Michael P. Clements, Ana Beatriz Galvão · Journal of Business and Economic Statistics · 2008 · 395 citations

, , +15

1–5 of 163

Authors

395

  1. PM
    Péter Molnár

    University of Stavanger, Norway

    5 publications · 426 citations

    5

    h-index

  2. KS
    Kevin Sheppard

    University of Oxford, United Kingdom

    5 publications · 1.6K citations

    5

    h-index

  3. JH
    Jonathan H. Wright

    Johns Hopkins University, United States

    4 publications · 304 citations

    4

    h-index

  4. AJ
    Andrew J. Patton

    Duke University, United States

    4 publications · 1.5K citations

    4

    h-index

  5. PS
    Pedro Santa‐Clara

    National Bureau of Economic Research, United States

    3 publications · 1K citations

    3

    h-index

1–5 of 395

Institutions

282

  1. Duke University

    Durham, United States

    6 h-index

    10 publications

    2.7K citations

  2. Federal Reserve

    Washington D.C., United States

    4 h-index

    10 publications

    739 citations

  3. University of Oxford

    Oxford, United Kingdom

    4 h-index

    4 publications

    980 citations

  4. University of Stavanger

    Stavanger, Norway

    4 h-index

    8 publications

    1K citations

  5. National Bureau of Economic Research

    Cambridge, United States

    3 h-index

    5 publications

    385 citations

  6. Federal Reserve Board of Governors

    Washington D.C., United States

    3 h-index

    6 publications

    203 citations

  7. Aarhus University

    Aarhus, Denmark

    3 h-index

    3 publications

    135 citations

  8. IPAG Business School

    Paris, France

    3 h-index

    3 publications

    89 citations

1–8 of 282

Venues

  1. SSRN Electronic Journal

    Repository · 19 publications · 729 citations

    14

    h-index

  2. Journal of Forecasting

    10 publications · 365 citations

    10

    h-index

  3. Expert Systems with Applications

    9 publications · 639 citations

    9

    h-index

  4. Quantitative Finance

    9 publications · 574 citations

    9

    h-index

  5. International Journal of Forecasting

    5 publications · 502 citations

    5

    h-index

1–5