TAQ

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Metadata

Zusammenfassung

NYSE Trade and Quote (TAQ) database contains intraday transactions data (trades and quotes) for all securities listed on the New York Stock Exchange (NYSE) and American Stock Exchange (AMEX), as well as Nasdaq National Market System (NMS) and SmallCap issues.

Forschungsbereich

Financial Markets

Schlagworte

extreme value theory, tail measure, implied correlation, variance risk premium, option-implied distribution, predictability, portfolio optimization, network theory, centrality, high frequency data, etfs, financial crises, covid-19, international finance, government communication, social media, twitter, machine learning

JEL-Klassifizierung

G11, G12, G13, G17, G10, G14, C58

Working Paper Referenzen

Option-Implied Information and Predictability of Extreme Returns
Global Realignment in Financial Market Dynamics: Evidence from ETF Networks
Market impact of government communication: The case of presidential tweets

Thema

Consumption
Saving and Borrowing
Systematic Risk

Publikationstyp

Research Data

Link zur Publikation

https://fif.hebis.de/xmlui/handle/123456789/1504

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