These are matlab files. For the ShangaiMinuteDataPart1 to ShangaiMinuteDataPart6, the first column represents year, the second one represents month, the third one represents date, the forth one repres
This study evaluates high-frequency financial market stability during major economic shocks and regulatory interventions using advanced nonlinear econometric models. Focusing on events like the Global
The analysis of the intraday dynamics of covariances among high-frequency returns is challenging due to asynchronous trading and market microstructure noise. Both effects lead to significant data redu