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Modeling Tick-by-Tick Realized Correlations

Modeling tick-by-tick realized correlations
descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Preprint 01 Jan 2008 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068, Copyright policy )
Authors: Francesco Audrino; CORSI, Fulvio;

doi: 10.2139/ssrn.1094750 , 10.1016/j.csda.2009.09.033

handle: 10278/38471 , 11568/887297 , 20.500.14171/95708

Modeling Tick-by-Tick Realized Correlations

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Keywords

Tree-structured models, Stock-bond correlation, 330, Realized correlation, HB, Stock–bond correlation, High frequency data, Realized correlation, Stock-bond correlation, Tree-structured models, HAR, Regimes, Economic time series analysis, High frequency data, HAR, Regimes, jel: jel:C53, jel: jel:C51, jel: jel:C13, jel: jel:C22

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    popularity
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    influence
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
28
Top 10%
Top 10%
Average
Green
bronze
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