Search Results - subject:"high–frequency data"

Trade intensity in the Russian stock market:dynamics, distribution and determinants

Anatolyev, Stanislav; Shakin, Dmitry - Center for Economic and Financial Research (CEFIR), New … - 2006

We investigate the distribution and evolution of intertrade durations for frequently traded stocks at the Moscow Interbank Currency Exchange. We use a flexible econometric model based on ARMA and GARCH which, when coupled with a certain class of distributions that allow for skewness and...

Persistent link: https://www.econbiz.de/10005086564

Stock Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets

Canto, Bea; Kräussl, Roman - Center for Financial Studies - 2006

Market Interactions and the Impact of Macroeconomic News – Evidence from High Frequency Data of European Futures Markets … Microstructure, Stock Market Dynamic Interactions, Macroeconomic News, High Frequency Data, VAR Modeling …, Variance Decomposition I. Introduction The increasing availability of high frequency data allows performing more detailed …

Persistent link: https://www.econbiz.de/10005176445

A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH

CECI, CLAUDIA; GERARDI, ANNA - In: International Journal of Theoretical and Applied … 09 (2006) 04, pp. 555-576

A general model for intraday stock price movements is studied. The asset price dynamics is described by a marked point process Y, whose local characteristics (in particular the jump-intensity) depend on some unobservable hidden state variable X. The dynamics of Y and X may be strongly dependent....

Persistent link: https://www.econbiz.de/10005080473

Fourier estimation of stochastic leverage using high frequency data

Curato, Imma Valentina - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2013

In this paper, we define a new estimator of the leverage stochastic process based only on a pre-estimation of the Fourier coefficients of the volatility process. This feature constitutes a novelty in comparison with the leverage estimators proposed in the literature generally based on a...

Persistent link: https://www.econbiz.de/10011191493

An investigation of return-volatility relationship using high-frequency VKOSPI data

Bagchi, Debasis; Lee, Changjun; Ryu, Doojin - In: Afro-Asian Journal of Finance and Accounting 3 (2013) 3, pp. 258-273

Most previous studies examine the relationship between stock market returns and volatility using low frequency data such as daily or weekly basis. In this study, using the high frequency intraday data, we expand the scope of prior studies to investigate the relationship of short-term changes of...

Persistent link: https://www.econbiz.de/10010816839

Forecasting volatility with the realized range in the presence of noise and non-trading

Bannouh, Karim; Martens, Martin; van Dijk, Dick - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 535-551

We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility in the presence of bid–ask bounce and non-trading. The adjustment is an extension of the estimator proposed in Christensen et al. (2009). We relax the assumption that all...

Persistent link: https://www.econbiz.de/10010730241

The economics of data: Using simple model-free volatility in a high-frequency world

Garvey, John; Gallagher, Liam A. - In: The North American Journal of Economics and Finance 26 (2013) C, pp. 370-379

This paper examines the practical implications of using high-frequency data in a fast and frugal manner. It recognises …

Persistent link: https://www.econbiz.de/10010730255

How Do Price Limits Influence French Market Microstructure? A High Frequency Data Analysis in Terms of Return, Volatility and Volume

Michalon, Karine - Université Paris-Dauphine (Paris IX) - 2013

The purpose of the regulated halts on stock exchange markets is to spread the information on the market and to protect the interests of the small shareholders. The aim of this work is to empirically investigate the price limits on the French stock exchange market. We analyze the impact of such...

Persistent link: https://www.econbiz.de/10010760433

Does order flow in the European Carbon Futures Market reveal information?

Kalaitzoglou, Iordanis; Ibrahim, Boulis M. - In: Journal of Financial Markets 16 (2013) 3, pp. 604-635

This paper identifies the classes of agents at play in the European Carbon Futures Market and analyzes their trading behaviour during the market's early development period. A number of hypotheses related to microstructure are tested using enhanced ACD models. Evidence is presented that the...

Persistent link: https://www.econbiz.de/10010869355

Trading patterns in the European carbon market: The role of trading intensity and OTC transactions

Kalaitzoglou, Iordanis; Ibrahim, Boulis Maher - In: The Quarterly Review of Economics and Finance 53 (2013) 4, pp. 402-416

This paper examines the effect of trading intensity and OTC transactions on expected market conditions in the early development period of the European Carbon futures market. Past duration and trading intensity are used as information related order flow variables in modelling time between...

Persistent link: https://www.econbiz.de/10010868874