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  • Search: subject:"Asynchronous trading"
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Year of publication
Subject
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asynchronous trading 7 Schätztheorie 3 Schätzung 3 absence of arbitrage 3 bid-ask bounce 3 bond returns 3 correlation 3 covariance 3 exchange rates 3 stock returns 3 volatility 3 Aktienmarkt 2 Asynchronous Trading 2 Blocking 2 Börsenkurs 2 Censored data 2 Core 2 Covariance Estimation 2 Microstructure 2 Mikrostrukturanalyse 2 Multivariate Analyse 2 Realized Kernel 2 Regularization 2 Theorie 2 USA 2 Varianzanalyse 2 Wertpapierhandel 2 blocking 2 covariance estimation 2 microstructure 2 range-based estimation 2 realized kernel 2 regularization 2 thin trading 2 Beta risk 1 Betafaktor 1 Corporate Governance 1 Corporate governance 1 Emerging economies 1 Estimation 1
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Online availability
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Free 9
Type of publication
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Book / Working Paper 7 Article 2
Type of publication (narrower categories)
All
Working Paper 3 Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 7 Undetermined 2
Author
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Hautsch, Nikolaus 4 Kyj, Lada M. 4 Brandt, Michael W. 3 Diebold, Francis X. 3 Oomen, Roel C.A. 2 Hasnaoui, Habib 1 Mizuno, Mitsuru 1
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Institution
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Center for Financial Studies 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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CFS Working Paper Series 3 CFS Working Paper 2 Journal of business and finance 2 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1
Source
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RePEc 4 EconStor 3 ECONIS (ZBW) 2
Showing 1 - 9 of 9
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Alternative beta risk estimators in emerging markets : the case of Tunisia
Hasnaoui, Habib - In: Journal of business and finance 2 (2014) 1, pp. 57-64
In this paper, we use the sample selectivity model to estimate the systematic risk for Tunisian stocks. This approach is applied in the case of extreme thin trading where data are censored due to the presence of zero returns. The approach is a two-step procedure: a selectivity component which...
Persistent link: https://www.econbiz.de/10010476354
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Corporate governance, institutional investors, and firm performance in France
Mizuno, Mitsuru - In: Journal of business and finance 2 (2014) 1, pp. 33-46
Using data of firms making up SBF120 during 2005 and 2010, this paper examines the influence of institutional investors on corporate governance and the relationship between institutional investors and firm performance in France. Institutional investors have become active in strengthening...
Persistent link: https://www.econbiz.de/10010476362
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010270808
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010303678
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - Center for Financial Studies - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010958683
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Cover Image
A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10008477173
Saved in:
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - 2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading …
Persistent link: https://www.econbiz.de/10010298281
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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading …
Persistent link: https://www.econbiz.de/10010958542
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
-based estimator is highly efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading … efficient yet robust to market microstructure noise arising from bid-ask bounce and asynchronous trading. Finally, we provide …, absence of arbitrage, exchange rates, stock returns, bond returns, bid-ask bounce, asynchronous trading 1 The …
Persistent link: https://www.econbiz.de/10005600448
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