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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Autor: Alemany Palomo, Nuria
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
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spelling Analysis of high-frequency data on information transmissio and optimal portfolio choiceAlemany Palomo, NuriaPrice discoveryVolatility transmissionAsset allocationHigh-frequency dataMicrostructure noiseSeasonalityCiències Socials, Periodisme i Documentació33336With 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.Con la llegada de la nueva era tecnológica, el desarrollo de las bases de datos de alta frecuencia nunca fue tan fácil. Ello ha permitido un amplio abanico de investigaciones empíricas relacionadas con los mercados financieros para profundizar en la comprensión de diversos campos. En esta tesis se abordan tres cuestiones importantes utilizando datos con una frecuencia de cinco minutos, en concreto el estudio de la relación de lead-Iag y transmisión de volatilidad entre los mercados de contado y futuro, y la selección óptima de carteras. Por tanto, el principal objetivo de esta tesis es aportar nueva información relativa a estos tres aspecLos cuando se utilizan daLos de alta frecuencia en el análisis.Programa de Doctorat en Economia i EmpresaUniversitat Jaume IAragó Manzana, VicentSalvador Aragó, EnriqueUniversitat Jaume I. Escola de Doctorat201820182018info:eu-repo/semantics/doctoralThesisinfo:eu-repo/semantics/publishedVersion149 p.application/pdfapplication/pdfhttp://hdl.handle.net/10803/482211http://dx.doi.org/10.6035/14102.2018.5TDX (Tesis Doctorals en Xarxa)reponame:TDR. Tesis Doctorales en Redinstname:CBUC, CESCAInglésL'accés als continguts d'aquesta tesi queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons: http://creativecommons.org/licenses/by-nc/4.0/http://creativecommons.org/licenses/by-nc/4.0info:eu-repo/semantics/openAccessoai:www.tdx.cat:10803/4822112026-06-14T12:46:07Z
dc.title.none.fl_str_mv Analysis of high-frequency data on information transmissio and optimal portfolio choice
title Analysis of high-frequency data on information transmissio and optimal portfolio choice
spellingShingle Analysis of high-frequency data on information transmissio and optimal portfolio choice
Alemany Palomo, Nuria
Price discovery
Volatility transmission
Asset allocation
High-frequency data
Microstructure noise
Seasonality
Ciències Socials, Periodisme i Documentació
33
336
title_short Analysis of high-frequency data on information transmissio and optimal portfolio choice
title_full Analysis of high-frequency data on information transmissio and optimal portfolio choice
title_fullStr Analysis of high-frequency data on information transmissio and optimal portfolio choice
title_full_unstemmed Analysis of high-frequency data on information transmissio and optimal portfolio choice
title_sort Analysis of high-frequency data on information transmissio and optimal portfolio choice
dc.creator.none.fl_str_mv Alemany Palomo, Nuria
author Alemany Palomo, Nuria
author_facet Alemany Palomo, Nuria
author_role author
dc.contributor.none.fl_str_mv Aragó Manzana, Vicent
Salvador Aragó, Enrique
Universitat Jaume I. Escola de Doctorat
dc.subject.none.fl_str_mv Price discovery
Volatility transmission
Asset allocation
High-frequency data
Microstructure noise
Seasonality
Ciències Socials, Periodisme i Documentació
33
336
topic Price discovery
Volatility transmission
Asset allocation
High-frequency data
Microstructure noise
Seasonality
Ciències Socials, Periodisme i Documentació
33
336
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018
2018
2018
dc.type.none.fl_str_mv info:eu-repo/semantics/doctoralThesis
info:eu-repo/semantics/publishedVersion
format doctoralThesis
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10803/482211
http://dx.doi.org/10.6035/14102.2018.5
url http://hdl.handle.net/10803/482211
http://dx.doi.org/10.6035/14102.2018.5
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.rights.none.fl_str_mv http://creativecommons.org/licenses/by-nc/4.0
info:eu-repo/semantics/openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by-nc/4.0
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv 149 p.
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Universitat Jaume I
publisher.none.fl_str_mv Universitat Jaume I
dc.source.none.fl_str_mv TDX (Tesis Doctorals en Xarxa)
reponame:TDR. Tesis Doctorales en Red
instname:CBUC, CESCA
instname_str CBUC, CESCA
reponame_str TDR. Tesis Doctorales en Red
collection TDR. Tesis Doctorales en Red
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1869423430765379584
score 15.301603

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