Items where Author is "Hizmeri, Rodrigo"

Hizmeri, Rodrigo and Izzeldin, Marwan and Urga, Giovanni (2025) Identifying the Underlying Components of High-Frequency Data : Pure vs Jump Diffusion Processes. Journal of Empirical Finance, 81 (3): 101594. ISSN 0927-5398

Dumitru, Ana-Maria H. and Hizmeri, Rodrigo and Izzeldin, Marwan (2025) Forecasting the Realized Variance in the Presence of Intraday Periodicity. Journal of Banking and Finance, 170: 107342. ISSN 0378-4266

Bu, Ruijun and Hizmeri, Rodrigo and Izzeldin, Marwan and Murphy, Antony and Tsionas, Mike (2023) The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. Journal of Empirical Finance, 70. pp. 144-164. ISSN 0927-5398

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A Generalized Heterogeneous Autoregressive Model using the Market Index. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Hizmeri, Rodrigo and Izzeldin, Marwan and Nolte, Ingmar and Pappas, Vasileios (2022) A generalized heterogeneous autoregressive model using market information. Quantitative Finance, 22 (8). pp. 1513-1534. ISSN 1469-7688

Hizmeri, Rodrigo and Izzeldin, Marwan and Tsionas, Mike (2021) Essays on High Frequency Financial Econometrics : (Co)Jumps, Aggregation, Asymmetry and Measurement Error. PhD thesis, Lancaster University.

Hizmeri, Rodrigo and Izzeldin, Marwan and Murphy, Anthony and Tsionas, Mike (2019) The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. Working Paper. Lancaster University, Department of Economics, Lancaster.