Search Results - subject:"high–frequency data"

Ultra high frequency volatility estimation with dependent microstructure noise

Ait-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - 2005

We analyze the impact of time series dependence in market microstructure noise on the properties of estimators of the integrated volatility of an asset price based on data sampled at frequencies high enough for that noise to be a dominant consideration. We show that combining two time scales for...

Persistent link: https://www.econbiz.de/10010295775

Common Periodic Correlation Features and the Interaction of Stocks and Flows in Daily Airport Data

Haldrup, Niels; Hylleberg, Svend; Pons, Gabriel; … - School of Economics and Management, University of Aarhus - 2005

This paper presents a new framework for coping with problems often encountered when modeling seasonal high frequency … data containing both flow and stock variables. The idea is to apply a multivariate weekly representation of a daily … modeling seasonal high frequency data containing both flow and stock variables. The idea is to apply a multivariate weekly …

Persistent link: https://www.econbiz.de/10010851169

Ultra high frequency volatility estimation with dependent microstructure noise

Ait-Sahalia, Yacine; Mykland, Per A.; Zhang, Lan - Deutsche Bundesbank - 2005

Persistent link: https://www.econbiz.de/10005083059

Explaining credit default swap spreads with equity volatility and jump risks of individual firms

Zhu, Haibin; Zhang, Benjamin Yibin; Zhou, Hao - Bank for International Settlements (BIS) - 2005

to identify the realized jumps of individual equity from high frequency data. Our empirical results suggest that …

Persistent link: https://www.econbiz.de/10005121436

An Analysis of the Impacts of Non-Synchronous Trading On

Camilleri, Silvio John; Green, Christopher J. - EconWPA - 2005

The serial correlation effects which non-synchronous trading can induce in financial data have been documented by various researchers. In this paper we investigate non-synchronous trading effects in terms of the predictability that may be induced in the values of stock indices. This analysis is...

Persistent link: https://www.econbiz.de/10005413096

Non-linear logit models for high-frequency data analysis

Sazuka, Naoya - In: Physica A: Statistical Mechanics and its Applications 355 (2005) 1, pp. 183-189

We analyze tick-by-tick data, the most high frequency data available, of yen–dollar exchange rates with focus on the …

Persistent link: https://www.econbiz.de/10010588984

Estimating Quadratic Variation When Quoted Prices Jump by a Constant Increment

Large, Jeremy - Department of Economics, Oxford University - 2005

Financial assets` quoted prices normally change through frequent revisions, or jumps. For markets where quotes are almost always revised by the minimum price tick, this paper proposes a new estimator of Quadratic Variation which is robust to microstructure effects. It compares the number of...

Persistent link: https://www.econbiz.de/10010661345

A Gaussian calculus for inference from high frequency data

Mykland, Per - In: Annals of Finance 8 (2012) 2, pp. 235-258

Persistent link: https://www.econbiz.de/10010866535

A new interpretation of known facts: The case of two-way causality between trading and volatility

Müller, Christian - In: Economic Modelling 29 (2012) 3, pp. 664-670

Efficient price setting implies that news create volatility since traders flock to the market in order to re-optimise their portfolios. In due course of the price finding process volatility should decline once the asset price approaches its new, efficient level. In this note I present evidence...

Persistent link: https://www.econbiz.de/10011048711

Testing for jumps in noisy high frequency data

Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia - In: Journal of Econometrics 168 (2012) 2, pp. 207-222

microstructure noise in high frequency data, based on the pre-averaging method of Jacod et al. (2010). We show that the robustified …

Persistent link: https://www.econbiz.de/10011052312