Search Results - subject:"high–frequency data"

Detecting Multiple Breaks in Financial Market Volatility Dynamics

Andreou, Elena; Ghysels, Eric - University of Cyprus Department of Economics - 2001

estimators using high-frequency data. In addition to testing for the presence of breaks, the statistics identify the number and …

Persistent link: https://www.econbiz.de/10004991184

A mean variance king? Creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter E. - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2001

This paper delineates the simultaneous impact of non-anticipated information on first and second moments of the intraday price process by including appropriate variables accounting for the news flow into both the mean and the variance function. This allows us to differentiate between the...

Persistent link: https://www.econbiz.de/10005098166

Nonlinear Features of Realized FX Volatility

Maheu, John M.; McCurdy, Thomas H. - Centre Interuniversitaire de Recherche en Analyse des … - 2001

This paper investigates nonlinear features of FX volatility dynamics using estimates of daily volatility based on the sum of intraday squared returns. Measurement errors associated with using realized volatility to measure ex post latent volatility imply that standard time series models of the...

Persistent link: https://www.econbiz.de/10005100557

Detecting Mutiple Breaks in Financial Market Volatility Dynamics

Andreou, Elena; Ghysels, Eric - Centre Interuniversitaire de Recherche en Analyse des … - 2001

-driven volatility estimators using high-frequency data and suggest multivariate applications. In addition to testing for the presence of …

Persistent link: https://www.econbiz.de/10005100985

Financial markets as a complex system: A short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - Deutsche Bank Research - 2001

In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...

Persistent link: https://www.econbiz.de/10008677264

Financial markets as a complex system : a short time scale perspective

Marschinski, Robert; Matassini, Lorenzo - 2001

Persistent link: https://www.econbiz.de/10010504303

A mean variance king? : creation and resolution of uncertainty under the employment report's reign

Hautsch, Nikolaus; Hess, Dieter - 2001

Persistent link: https://www.econbiz.de/10011446937

High Watermarks of Market Risks

Maillet, Bertrand; Médecin, Jean-Philippe; Michel, Thierry - HAL - 2009

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

Persistent link: https://www.econbiz.de/10010738652

Linkages between asset classes during the financial crisis, accounting for market microstructure noise and non-synchronous trading

Frank, Nathaniel - Department of Economics, Oxford University - 2009

In this paper we analyse market co-movements during the global financial crisis. Using high frequency data and …

Persistent link: https://www.econbiz.de/10011004255

Quadratic Variation by Markov Chains

Hansen, Peter Reinhard; Horel, Guillaume - School of Economics and Management, University of Aarhus - 2009

the high-frequency data that are used in this paper. 1 1 Introduction The advent of high-frequency �nancial data brought … distinct features. First, it utilizes the discreteness of high-frequency data. Second, the estimator permits a high degree of … Inhomogeneous. Fourth, we apply the Markov chain framework to high-frequency data of an exchange traded fund that tracks the S&P 500 …

Persistent link: https://www.econbiz.de/10004990847