Search Results - subject:"High‐frequency data"

The Impact of Sampling Frequency and Volatility Estimators on Change-Point Tests

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2004

processes as well as data-driven volatility estimators using high-frequency data. It is shown that some of the high …

Persistent link: https://www.econbiz.de/10005100727

Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - Center for Financial Studies - 2004

recessions. Lastly, relying on the pronounced heteroskedasticity in the high-frequency data, we document important … heteroskedasticity in the high-frequency data, we document important contemporaneous linkages across all markets and countries over … News Announcements; Financial Market Linkages; Market Microstructure; High-Frequency Data; Survey Data; Asset Return …

Persistent link: https://www.econbiz.de/10005022409

Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - Tinbergen Institute - 2004

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

Persistent link: https://www.econbiz.de/10005137234

Bayesian Learning in Financial Markets: Testing for the Relevance of Information Precision in Price Discovery

Hautsch, Nikolaus; Hess, Dieter - Økonomisk Institut, Københavns Universitet - 2004

An important claim of Bayesian learning and a standard assumption in price discovery models is that the strength of the price impact of unanticipated information depends on the precision of the news. In this paper, we test for this assumption by analyzing intra-day price responses of CBOT T-bond...

Persistent link: https://www.econbiz.de/10005225476

Realized Variance and IID Market Microstructure Noise

Lunde, Asger; Hansen, Peter Reinhard - Econometric Society - 2004

We analyze the properties of a bias-corrected realized variance (RV) in the presence of iid market microstructure noise. The bias correction is based on the first-order autocorrelation of intraday returns and we derive the optimal sampling frequency as defined by the mean squared error (MSE)...

Persistent link: https://www.econbiz.de/10005342264

Stock market integration and the speed of information transmission

Cerny, Alexandr - Center for Economic Research and Graduate Education and … - 2004

Using a unique dataset covering 8 months of high frequency data on the indices from markets in the U.S., London …

Persistent link: https://www.econbiz.de/10005357531

Modeling and forecasting S&P 500 volatility : long memory, structural breaks and nonlinearity

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - 2004

Persistent link: https://www.econbiz.de/10011335205

Portfolio choice with high frequency data : CRRA preferences and the liquidity effect

Brito, R. P.; Sebastião, H.; Godinho, P. - In: Portuguese economic journal 16 (2017) 2, pp. 65-86

Persistent link: https://www.econbiz.de/10011900475

The generalized conditional autoregressive wishart model for multivariate realized volatility

Yu, Philip L. H.; Li, Wai Keung; Ng, F. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 4, pp. 513-527

Persistent link: https://www.econbiz.de/10011893712

Marked Hawkes process modeling of price dynamics and volatility estimation

Lee, Kyungsub; Seo, Byoung Ki - In: Journal of empirical finance 40 (2017), pp. 174-200

Persistent link: https://www.econbiz.de/10011745018