On portfolio optimization: How and when do we benefit from high-frequency data? (JAE 2009)

From ReplicationWiki
Jump to: navigation, search
How revelant do you consider a replication of this study? You may discuss on the discussion page.


Nobody voted on this yet

 You need to enable JavaScript to vote


Here you find a ranking of the studies that are regarded most relevant to be replicated.

Contents

Article

Authors Title Journal Year Edition Pages JEL Codes Keywords
Qianqiu Liu On portfolio optimization: How and when do we benefit from high-frequency data? JAE 2009 4 560–582 - -

Article information

Program code Data Readme Method(s) & estimation Data type Data used Origin of data used Software used (Version)
1 - accessible on journal website 0 - not available online 1 - accessible on journal website - - confidential high-frequency data from, New York Stock Exchange Trade and Quotation (TAQ) database, Chicago Mercantile Exchange (CME) database, TAQ data files contain continuously recorded information on trades and quotations for securities listed on, New York Stock Exchange (NYSE), American Stock Exchange (AMEX), National Association of Security Dealers Automated Quotation system (NASDAQ), database published monthly, sample period January 2, 1993-June 30, 2000 USA MATLAB

Replication of this study

Authors Title Journal Year Edition Pages JEL Codes Keywords Replication type Replication result [refer to replication type 1 and 2] Raw data Call into question Authors statement

References

DOI: 10.1002/jae.1062 IDEAS: a/jae/japmet/v24y2009i4p560-582.html EconPapers: RePEc:jae:japmet:v:24:y:2009:i:4:p:560-582


Personal tools
Namespaces

Variants
Actions
Navigation
Toolbox