Search Results - subject:"high–frequency data"

McAleer, Michael; Medeiros, Marcelo - In: Econometric Reviews 27 (2008) 1-3, pp. 10-45

This article reviews the exciting and rapidly expanding literature on realized volatility. After presenting a general univariate framework for estimating realized volatilities, a simple discrete time model is presented in order to motivate the main results. A continuous time specification...

Persistent link: https://www.econbiz.de/10005511988

Modeling Tick-by-Tick Realized Correlations

Corsi, Fulvio; Audrino, Francesco - School of Economics and Political Science, Universität … - 2008

We propose a tree-structured heterogeneous autoregressive (tree-HAR) process as a simple and parsimonious model for the estimation and prediction of tick-by-tick realized correlations. The model can account for different time and other relevant predictors' dependent regime shifts in the...

Persistent link: https://www.econbiz.de/10005453959

High frequency intrinsic modes in El Niño/Southern Oscillation Index

Petroni, Filippo; Ausloos, Marcel - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5246-5254

Recent daily data of the Southern Oscillation Index have been analyzed. The power spectrum indicates major intrinsic geophysical short periods. We find interesting “high frequency” oscillations at 24, 27, 37, 76, 100 and 365 days. In particular the 24 days peaks may correspond to the...

Persistent link: https://www.econbiz.de/10011059423

Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects

Corsi, Fulvio; Audrino, Francesco - School of Economics and Political Science, Universität … - 2008

This paper presents two classes of tick-by-tick covariance estimators adapted to the case of rounding in the price time stamps to a frequency lower than the typical arrival rate of tick prices. We investigate, through Monte Carlo simulations, the behavior of such estimators under realistic...

Persistent link: https://www.econbiz.de/10005696728

Empirical distributions of Chinese stock returns at different microscopic timescales

Gu, Gao-Feng; Chen, Wei; Zhou, Wei-Xing - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 2, pp. 495-502

We study the distributions of event-time returns and clock-time returns at different microscopic timescales using ultra-high-frequency … data extracted from the limit-order books of 23 stocks traded in the Chinese stock market in 2003. We find that the returns …

Persistent link: https://www.econbiz.de/10010591774

Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan; … - 1998

Wir verwenden eine neue, auf der Burr-Verteilung basierende Spezifikation aus der Familie der Autoregressive Conditional Duration (ACD) Modelle zur ökonometrischen Analyse der Transaktionsintensitäten während der Börseneinführung (IPO) der Deutsche Telekom Aktie. In diesem Fallbeispiel wird...

Persistent link: https://www.econbiz.de/10010316257

Linking series generated at different frequencies and its applications

Hyung, Namwon - 1998

This paper systematically studies the use of mixed-frequency data sets and suggests that the use of high frequency data … consistent alternative, we propose a two-stage procedure to obtain pseudo high frequency data and to subsequently use these …

Persistent link: https://www.econbiz.de/10010301743

Asymmetric ACD models: introducing price information in ACD models with a two state transition model

BAUWENS, Luc; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1998

This paper proposes a class of asymmetric Autoregressive Conditional Duration models, which extends the ACD model of Engle and Russell (1997). The asymmetry consists of letting the duration process depend on the state of the price process in the beginning and at the end of each duration. If the...

Persistent link: https://www.econbiz.de/10005043023

Abnormal Returns, Risk, and Options in Large Data Sets

Caserta, Silvia; Danielsson, Jon; Vries, Casper G. de - Tinbergen Institute - 1998

frequency data. Empirical tail shapes are calculated for the German Mark-US Dollar foreign exchange rate, and we use the semi … distribution based approach. It is shown that the efficiency of the estimator of the extreme returns may benefit from high …

Persistent link: https://www.econbiz.de/10005281776

- LIQUIDEZ Y MARKET MAKERS EN EL MERCADO DE FUTUROS: UN ANÁLISIS CON DATOS DE MUY ALTA FRECUENCIA

García-Montalvo, José - Instituto Valenciano de Investigaciones Económicas (IVIE) - 1998

This paper analyzes the dynamic behavior of price changes in the Spanish futures market and its determinants using data on transactions observed during several days. The econometrictechnique is the ordered probit, which allows the accommodation of the main characteristics of the data: price...

Persistent link: https://www.econbiz.de/10005212535