Keyword

high-frequency data

Description: Time-series observations collected at short intervals, used to analyze rapidly changing processes in fields such as finance, econometrics, and fluid dynamics.

Primary topic: Financial Risk and Volatility Modeling (35%)

Wikidata ID: wiki/Q48997230

OpenAlex ID: keywords/high-frequency-data

Analysis of Financial Time Series

2006 · Technometrics · 2,348

The distribution of realized stock return volatility

2001 · T Andersen · Journal of Financial Economics · 2,260

The Distribution of Realized Exchange Rate Volatility

2001 · Torben G Andersen, Tim Bollerslev, et al. · Journal of the American Statistical Association · 2,104

Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility

2007 · Torben G. Andersen, Tim Bollerslev, et al. · The Review of Economics and Statistics · 1,447

High Frequency Identification of Monetary Non-Neutrality: The Information Effect

2013 · Emi Nakamura, Jón Steinsson · The Quarterly Journal of Economics · 1,405

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A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data

2003 · Lan Zhang, Per Mykland, et al. · National Bureau of Economic Research · 1,373

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Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise

2008 · Ole E. Barndorff-Nielsen, Peter Reinhard Hansen, et al. · Econometrica · 1,230

Realized Variance and Market Microstructure Noise

2006 · Peter R Hansen, Asger Lunde · Journal of Business and Economic Statistics · 1,162

MIDAS Regressions: Further Results and New Directions

2007 · Eric Ghysels, Arthur Sinko, et al. · Econometric Reviews · 1,001

An Introduction to High-Frequency Finance

2001 · Gençay, Ramazan, Müller, Ulrich A, et al. · Elsevier eBooks · 956

The impact of monetary policy on asset prices

2004 · Roberto Rigobon, Brian Sack · Journal of Monetary Economics · 954

How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

2005 · Yacine Aït-Sahalia, Per A. Mykland, et al. · Review of Financial Studies · 876

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

2005 · Eric Ghysels, Pedro Santa-Clara, et al. · Journal of Econometrics · 811

Inflation crises and long-run growth

1998 · Michael Bruno, William Easterly · Journal of Monetary Economics · 809

Volatility Is Rough

2018 · Jim Gatheral, Thibault Jaisson, et al. · Quantitative Finance · 790

Microstructure noise in the continuous case: The pre-averaging approach

2008 · Jean Jacod, Yingying Li, et al. · Stochastic Processes and their Applications · 691

Temporal Aggregation of Garch Processes

1993 · Feike C. Drost, Theo E. Nijman · Econometrica · 678

Realized kernels in practice: trades and quotes

2009 · O. E. Barndorff‐Nielsen, P. Reinhard Hansen, et al. · Econometrics Journal · 641

A framework for assessing the systemic risk of major financial institutions

2009 · Xin Huang, Hao Zhou, et al. · Journal of Banking & Finance · 638

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Separating microstructure noise from volatility

2005 · Federico M. Bandi, Jeffrey R. Russell · Journal of Financial Economics · 635

Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes

2012 · Lily Y. Liu, Andrew J. Patton, et al. · Journal of Econometrics · 626

Estimating quadratic variation using realized variance

2002 · Ole E. Barndorff‐Nielsen, Neil Shephard · Journal of Applied Econometrics · 617

Finance and Economics Discussion Series

2022 · Finance and Economics Discussion Series · 609

Microstructure Noise, Realized Variance, and Optimal Sampling

2008 · F. M. BANDI, J. R. RUSSELL · The Review of Economic Studies · 598

Testing for jumps in a discretely observed process

2009 · Yacine Aït-Sahalia, Jean Jacod · The Annals of Statistics · 587

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Works count: 9,144

Citation count: 131,300