Concepedia

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Nikolaus Hautsch

Journal of Economic Dynamics and Control · 2008 · 57 citations · 57 references

Concepts

BusinessEconomicsFinanceFinancial EconometricsFinancial EconomicsTime Series AnalysisFinancial Time Series AnalysisHigh-frequency Data AnalysisHigh-frequency Financial DataHigh-frequency Time Series AnalysisTime Series ForecastingVolatility ModelingFinancial Time Series ForecastingHigh-frequency Correlation ModelingHigh-frequency Covariance EstimationHigh-frequency Dependence ModelingHigh-frequency EconometricsMultivariate High-frequency AnalysisMultivariate Stochastic Volatility

References

57

Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991 · 10.4K citations

Business, Economics, Finance +17

Bid, ask and transaction prices in a specialist market with heterogeneously informed traders

Lawrence R. Glosten, Paul Milgrom · Journal of Financial Economics · 1985 · 6.4K citations

Social Sciences, Economics, Auction Theory +7

On a measure of lack of fit in time series models

Greta M. Ljung, George E. P. Box · Biometrika · 1978 · 6K citations

Computing, Business Economics, Econometrics +14

Impulse response analysis in nonlinear multivariate models

Gary Koop, M. Hashem Pesaran, Simon Potter · Journal of Econometrics · 1996 · 5K citations

Natural Sciences, Biostatistics, Statistical Modeling +6

Measuring and Testing the Impact of News on Volatility

Robert F. Engle, Victor Ng · The Journal of Finance · 1993 · 3.7K citations

Business, Economics, Finance +17