Search Results - subject:"Intraday Volatility"

Intraday price and volatility spillovers between Japanese and Korean stock markets

Kang, Sang Hoon; Yoon, Seong-min - In: Korea and the world economy 15 (2014) 2, pp. 185-207

Persistent link: https://www.econbiz.de/10010414245

Intraday periodicity adjustments of transaction duration and their effects on high-frequency volatility estimation

Tse, Yiu Kuen; Dong, Yingjie - In: Journal of empirical finance 28 (2014), pp. 352-361

Persistent link: https://www.econbiz.de/10011285621

Interday and Intraday Volatility: additional evidence from the Shanghai Stock Exchange

Tian, G.; Guo, M. - 2007

intraday volatility pattern. This result suggests that the high volatility of intraday returns for the market open is not … driving forces which exaggerate the high intraday volatility observed at the market open. …

Persistent link: https://www.econbiz.de/10009457624

Does the Option Market Produce Superior Forecasts of Noise-Corrected Volatility Measures?

Martin, Gael M.; Reidy, Andrew; Wright, Jill - Department of Econometrics and Business Statistics, … - 2007

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which recent developments related to the impact on measured volatility of market microstructure noise are taken into account. The paper also assesses the robustness of the...

Persistent link: https://www.econbiz.de/10005125282

Assessing the Impact of Market Microstructure Noise and Random Jumps on the Relative Forecasting Performance of Option-Implied and Returns-Based Volatility

Martin, Gael M.; Reidy, Andrew; Wright, Jill - Department of Econometrics and Business Statistics, … - 2006

This paper presents a comprehensive empirical evaluation of option-implied and returns-based forecasts of volatility, in which new developments related to the impact on measured volatility of market microstructure noise and random jumps are explicitly taken into account. The option-based...

Persistent link: https://www.econbiz.de/10005125283

Modeling market impact and timing risk in volume time

Mazur, Slava - In: Algorithmic Finance 2 (2013) 2, pp. 113-126

Intraday volatility and market impact models in volume time are proposed. We build an intraday volatility profile to …

Persistent link: https://www.econbiz.de/10010991436

Monitoring the intraday volatility pattern

Gabrys, Robertas; Hörmann, Siegfried; Kokoszka, Piotr - In: Journal of time series econometrics 5 (2013) 2, pp. 87-116

Persistent link: https://www.econbiz.de/10010225463

Order Imbalance and Intraday Price Discovery: Evidence from Chinese Stock Markets

Zhang, Zhaohui; Wang, Jiamin; Bremer, Ronald - In: Review of Pacific Basin Financial Markets and Policies … 14 (2011) 04, pp. 693-714

In this paper, we study the relation between order imbalances (buyer versus seller-initiated trades measured by a buy ratio) at an early trading hour and intraday price discovery in the Chinese stock markets. We find that the volatility of order imbalances is the highest around the open. There...

Persistent link: https://www.econbiz.de/10009395562

Intraday volatility and scaling in high frequency foreign exchange markets

Seemann, Lars; McCauley, Joseph L.; Gunaratne, Gemunu H. - In: International review of financial analysis 20 (2011) 3, pp. 121-126

Persistent link: https://www.econbiz.de/10009295805

Are exchange-traded funds effective instruments to invest in Islamic markets? Early evidence from Dow Jones DJIM Turkey ETF

Gozbasi, Onur; Erdem, Ekrem - In: American Journal of Finance and Accounting 2 (2010) 2, pp. 119-142

transient premiums' size are identified as transaction cost, trading volume, intraday volatility and institutional ownership …

Persistent link: https://www.econbiz.de/10008755391