Analysis of high-frequency data on information transmissio and optimal portfolio choice
With the advent of the new technological era, the development of high-frequency datasets is easier Ihan ever. It has allowed a wide range of empirical investigations regarding the financial markels to deepen lhe understanding on several fields.ln this dissertatlon. lhree important issues, namely, th...
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| Tipo de recurso: | tesis doctoral |
| Estado: | Versión publicada |
| Fecha de publicación: | 2018 |
| País: | España |
| Institución: | CBUC, CESCA |
| Repositorio: | TDR. Tesis Doctorales en Red |
| OAI Identifier: | oai:www.tdx.cat:10803/482211 |
| Acceso en línea: | http://hdl.handle.net/10803/482211 http://dx.doi.org/10.6035/14102.2018.5 |
| Access Level: | acceso abierto |
| Palabra clave: | Price discovery Volatility transmission Asset allocation High-frequency data Microstructure noise Seasonality Ciències Socials, Periodisme i Documentació 33 336 |
| Sumario: | With the advent of the new technological era, the development of high-frequency datasets is easier Ihan ever. It has allowed a wide range of empirical investigations regarding the financial markels to deepen lhe understanding on several fields.ln this dissertatlon. lhree important issues, namely, the study ofthe lead-Iag relationship, volatility transmission and oplimal portfolio choice, are addressed by considering intraday data on a five-minute inlerval basis. Thus, the main purpose of this lhesis is lO provide new insights into the aforementioned aspects when high-frequency data are used in the analysis. |
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