Search Results - subject:"high–frequency data"

A Framework for Assessing the Systemic Risk of Major Financial Institutions

Huang, Xin; Zhou, Hao; Zhu, Haibin - Bank for International Settlements (BIS) - 2009

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks...

Persistent link: https://www.econbiz.de/10005000221

Money-Market Segmentation in the Euro Area: What has Changed During the Turmoil?

Zagaglia, Paolo - Nationalekonomiska institutionen, Stockholms Universitet - 2009

I study how the pattern of segmentation in the Euro area money market has been affected by the recent turmoil in financial markets. I use nonparametric estimates of realized volatility to test for volatility spillovers between rates at different maturities. For the pre-turmoil period, exogeneity...

Persistent link: https://www.econbiz.de/10005000431

Return and Volatility Reactions to Monthly Announcements of Business Cycle Forecasts: An Event Study Based on High-Frequency Data

Steiner, Christian; Groß, Anne; Entorf, Horst - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2009

This article contributes to the literature on macroeconomic announcements and their impact on asset prices by investigating how the 15-second Xetra DAX returns reflect the monthly announcements of the two best known business cycle forecasts for Germany, i.e. the ifo Business Climate Index and...

Persistent link: https://www.econbiz.de/10005097856

An Optimal Weight for Realized Variance Based on Intermittent High-Frequency Data

Masuda, Hiroki; Morimoto, Takayuki - Institute of Economic Research, Hitotsubashi University - 2009

In Japanese stock markets, there are two kinds of breaks, i.e., nighttime and lunch break, where we have no trading, entailing inevitable increase of variance in estimating daily volatility via naive realized variance (RV). In order to perform a much more stabilized estimation, we are concerned...

Persistent link: https://www.econbiz.de/10005675542

The relationship between the volatility of returns and the number of jumps in financial markets

Cartea, Alvaro; Karyampas, Dimitrios - Departamento de Economía de la Empresa, Universidad … - 2009

fund that tracks the S&P 500. We employ SPY high frequency data (minute-by-minute) to obtain estimates of the volatility of …

Persistent link: https://www.econbiz.de/10008514805

Modeling Asymmetric Volatility Clusters Using Copulas and High Frequency Data

Ning, Cathy; Xu, Dinghai; Wirjanto, Tony - Department of Economics, Ryerson University - 2009

constructed from high frequency data, we find that volatility clustering is strongly asymmetric in the sense that clusters of …

Persistent link: https://www.econbiz.de/10008549325

Emerging versus developed volatility indices. The comparison of VIW20 and VIX indices

Ślepaczuk, Robert; Zakrzewski, Grzegorz - Wydział Nauk Ekonomicznych, Uniwersytet Warszawski - 2009

regard to analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk … its term structure. The research is carried out using high-frequency data (i.e. tick data) for index options on WIG20 …

Persistent link: https://www.econbiz.de/10008496170

The Relevance of Accuracy for the Impact of Macroeconomic News on Volatility

Laakkonen, Helinä; Lanne, Markku - Volkswirtschaftliche Fakultät, … - 2009

We study whether the accuracy of news announcements matters for the impact of news on exchange rate volatility. We use high-frequency EUR/USD returns and releases of 20 US macroeconomic indicators, and measure the precision of news in three different ways. When the precision is defined by the...

Persistent link: https://www.econbiz.de/10008534277

Jump Testing and the Speed of Market Adjustment

Rasmussen, Torben B. - School of Economics and Management, University of Aarhus - 2009

. Keywords: jumps, hypothesis tests, market microstructure noise, high-frequency data. JEL Classi cations: C12, C14, G12 I would … is increased. The recent advent of high-frequency data with observations on all transactions or quotations therefore … the relatively large number of increments obtained from high-frequency data, using the Gumbel distribution will be a …

Persistent link: https://www.econbiz.de/10005198862

Volatility and covariation of financial assets: a high-frequency analysis

Cartea, Alvaro; Karyampas, Dimitrios - Departamento de Economía de la Empresa, Universidad … - 2009

Using high frequency data for the price dynamics of equities we measure the impact that market microstructure noise has …

Persistent link: https://www.econbiz.de/10008625887