Search Results - subject:"High‐frequency data"

The SIML estimation of realized volatility of the Nikkei-225 Futures and hedging coefficient with micro-market noise

Kunitomo, Naoto; Sato, Seisho - In: Mathematics and Computers in Simulation (MATCOM) 81 (2011) 7, pp. 1272-1289

For the estimation problem of the realized volatility and hedging coefficient by using high-frequency data with … multivariate high-frequency data. We show that the SIML method has the asymptotic robustness under non-Gaussian cases even when the …

Persistent link: https://www.econbiz.de/10010869922

Volatility and covariation of financial assets: A high-frequency analysis

Cartea, Álvaro; Karyampas, Dimitrios - In: Journal of Banking & Finance 35 (2011) 12, pp. 3319-3334

Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has …

Persistent link: https://www.econbiz.de/10011065673

Estimating the leverage parameter of continuous‐time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - In: Managerial Finance 37 (2011) 11, pp. 1048-1067

purpose of the paper is to provide a framework for using intraday high‐frequency data of both the indices' estimates, in … analysis of ultra high‐frequency financial data. Originality/value – The paper provides a framework for using intraday high‐frequency … data of both indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is …

Persistent link: https://www.econbiz.de/10014940205

Words that shake traders

Rosa, Carlo - In: Journal of Empirical Finance 18 (2011) 5, pp. 915-934

This paper investigates the effects of Federal Reserve's decisions and statements on U.S. stock and volatility indices (Dow Jones Industrial Average, NASDAQ 100, S&P 500, and VIX) using a high-frequency event-study analysis. I find that both the surprise component of policy actions and official...

Persistent link: https://www.econbiz.de/10010572332

Estimating the leverage parameter of continuous-time stochastic volatility models using high frequency S&P 500 and VIX

Ishida, Isao; McAleer, Michael; Oya, Kosuke - In: Managerial Finance 37 (2011) October, pp. 1048-1067

purpose of the paper is to provide a framework for using intraday high-frequency data of both the indices' estimates, in … analysis of ultra high-frequency financial data. Originality/value – The paper provides a framework for using intraday high-frequency … data of both indices' estimates, in particular, for improving the estimation accuracy of the leverage parameter, that is …

Persistent link: https://www.econbiz.de/10010675798

Words that shake traders : the stock market's reaction to central bank communication in real time

Rosa, Carlo - In: Journal of empirical finance 18 (2011) 5, pp. 915-934

Persistent link: https://www.econbiz.de/10009492524

When machines read the news : using automated text analytics to quantify high frequency news-implied market reactions

Groß-Klußmann, Axel; Hautsch, Nikolaus - In: Journal of empirical finance 18 (2011) 2, pp. 321-340

Persistent link: https://www.econbiz.de/10009301114

Non-Institutional Market Making Behavior: The Dalian Futures Exchange

Jordá, Oscar; Liu, Holly; Williams, Jeffrey - 2002

This paper contains three useful contributions: (1) it collects a new data-set of electronic transaction data on soybean futures from the Dalian Futures Exchange in China that records, not only the usual elements of each transaction (such as price and size) but also identifies broker and...

Persistent link: https://www.econbiz.de/10010318591

Tail Wags Dog? Time-Varying Information Shares in the Bund Market

Upper, Christian; Werner, Thomas - 2002

it is constant over time. The use of high-frequency data permits us to capture possible imperfections in the information …

Persistent link: https://www.econbiz.de/10010295741

Analytic Evaluation of Volatility Forecasts

Andersen, Torben G.; Bollerslev, Tim; Meddahi, Nour - Centre Interuniversitaire de Recherche en Analyse des … - 2002

The development of estimation and forecasting procedures using empirically realistic continuous-time stochastic volatility models is severely hampered by the lack of closed-form expressions for the transition densities of the observed returns. In response to this, Andersen, Bollerslev, Diebold...

Persistent link: https://www.econbiz.de/10005100878