This data sets contains MMS-1 SCM (search coil magnetometer) calibrated AC magnetic field waveforms in the high speed burst mode and GSE frame. These waveform data are sampled at (survey scsrvy=32 sam
In this article, we introduce a novel method for predicting intraday instantaneous volatility based on Itô semimartingale models using high-frequency financial data. Several studies have highlighted s
We propose two new jump-robust estimators of integrated variance based on high-frequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipow
This data sets contains MMS-3 SCM (search coil magnetometer) calibrated AC magnetic field waveforms in the high speed burst mode and GSE frame. These waveform data are sampled at (survey scsrvy=32 sam
This article introduces a dynamic minimum variance portfolio (MVP) model using nonlinear volatility dynamic models, based on high-frequency financial data. Specifically, we impose an autoregressive dy