Search Results - subject:"high–frequency data"

VOLATILITY DYNAMICS OF EURO–DOLLAR FOREIGN EXCHANGE MARKET

Hwang, Jungseek; Park, Sungkyun; Kang, Sang Hoon; Ryu, … - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 756-762

This article assesses whether the continuous time random walk (CTRW) model is useful in explaining and predicting fluctuations in the financial market dynamics. In service of this objective, we formalize the CTRW model for a financial market, and estimate some salient exponents of the model...

Persistent link: https://www.econbiz.de/10008675950

Jump-Robust Volatility Estimation using Nearest Neighbor Truncation

Andersen, Torben G.; Dobrev, Dobrislav; Schaumburg, Ernst - School of Economics and Management, University of Aarhus - 2009

We propose two new jump-robust estimators of integrated variance based on highfrequency return observations. These MinRV and MedRV estimators provide an attractive alternative to the prevailing bipower and multipower variation measures. Specifically, the MedRV estimator has better theoretical...

Persistent link: https://www.econbiz.de/10008472103

Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements

Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an automated news analytics tool based on linguistic pattern recognition we extract information on the relevance as well as the direction of company-specific news....

Persistent link: https://www.econbiz.de/10008458281

Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data

Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009

; High-frequency data; Market microstructure noise; Non-synchronous trading; Pre-averaging; Realised covariance. JEL … financial high-frequency data has improved our ability to accurately estimate and draw inference about financial covariation … with microstructure noise relies on rather simple pre-averaging of the high-frequency data, which makes the estimator both …

Persistent link: https://www.econbiz.de/10008459759

Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - 2015

empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to …

Persistent link: https://www.econbiz.de/10010500513

O impacto de anúncios econômicos no mercado futuro brasileiro de ações, juros e câmbio

Santos, Francisco Eduardo de Luna e Almeida; Garcia, … - 2015

In this paper, the relationship between macroeconomic fundamentals and asset prices is explored by estimating the impact of macroeconomic announcements in the Brazilian futures market. Using intraday data from October 2008 to January 2011, results show that external macroeconomic announcements...

Persistent link: https://www.econbiz.de/10011516685

A Markov Chain Estimator of Multivariate Volatility from High Frequency Data

Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - School of Economics and Management, University of Aarhus - 2015

We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...

Persistent link: https://www.econbiz.de/10011268024

Nonparametric likelihood for volatility under high frequency data

Camponovo, Lorenzo; Matsushita, Yukitoshi; Otsu, Taisuke - Suntory and Toyota International Centres for Economics … - 2015

We propose a nonparametric likelihood inference method for the integrated volatility under high frequency financial data. The nonparametric likelihood statistic, which contains the conventional statistics such as empirical likelihood and Pearson's chi-square as special cases, is not...

Persistent link: https://www.econbiz.de/10011122384

Are benefits from oil-stocks diversification gone? New evidence from a dynamic copula and high frequency data

Avdulaj, Krenar; Barunik, Jozef - Institut für Volkswirtschaftslehre, … - 2015

empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to …

Persistent link: https://www.econbiz.de/10011213922

Daily house price indices : construction, modeling, and longer-run predictions

Bollerslev, Tim; Patton, Andrew J.; Wang, Wenjing - 2015 - 2. version

Persistent link: https://www.econbiz.de/10010464688