Search Results - subject:"high–frequency data"

Option data, missing tails, and the intraday variation of implied moments

Ivanovas, Anselm - 2015

Die risikoneutrale Verteilung von Renditen, wie sie von S&P 500 Optionen impliziert wird, ist ein seit Jahren beliebtes Forschungsthema in den Finanzwissenschaften. Durch ihre vorausschauende Eigenschaft liefert diese Verteilung und im Speziellen ihre Momente, wertvolle Einsichten in die...

Persistent link: https://www.econbiz.de/10010510195

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/10010499593

Selection of minimum variance portfolio using intraday data : an empirical comparison among different realized measures for BM&FBovespa data

Borges, Bruna K.; Caldeira, João F.; Ziegelmann, Flávio A. - In: Brazilian review of econometrics : BRE ; the review of … 35 (2015) 1, pp. 23-46

Persistent link: https://www.econbiz.de/10011538801

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/10011446420

Nonparametric estimation of the leverage effect : a trade-off between robustness and efficiency

Kalnina, Ilze; Xiu, Dacheng - 2015

Persistent link: https://www.econbiz.de/10011419309

Cross-sectional dependence in idiosyncratic volatility

Kalnina, Ilze; Tewou, Kokouvi - 2015

Persistent link: https://www.econbiz.de/10011404552

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

The intraday effect of nature disaster and production safety accident announcement based on high-frequency data from China’s stock markets

Li, Ping; Tang, Huailin; Liao, Jingchi - In: China Finance Review International 5 (2015) 3, pp. 277-302

China’s stock markets. Design/methodology/approach – Using high-frequency data, this study adopts event study method to … impacts of PSA announcement on chemical firms and other firms. Originality/value – It is the first time that using high-frequency … data to analyze the intraday impact of nature disaster and PSA announcement on stock short price behavior. The results can …

Persistent link: https://www.econbiz.de/10014694666

Intraday return and volatility spillover mechanism from Chinese to Japanese stock market

Nishimura, Yusaku; Tsutsui, Yoshiro; Hirayama, Kenjiro - In: Journal of the Japanese and International Economies 35 (2015) C, pp. 23-42

We analyze the mechanism of return and volatility spillover effects from the Chinese to the Japanese stock market. We construct a stock price index comprised of those companies that have substantial operations in China. This China-related index responds to changes in the Shanghai Composite Index...

Persistent link: https://www.econbiz.de/10011190567

Spot volatility estimation using delta sequences

Mancini, Cecilia; Mattiussi, Vanessa; Renò, Roberto - In: Finance and Stochastics 19 (2015) 2, pp. 261-293

<Para ID="Par1">We introduce a unifying class of nonparametric spot volatility estimators based on delta sequences and conceived to include many of the existing estimators in the field as special cases. The full limit theory is first derived when unevenly sampled observations under infill asymptotics and fixed...</para>

Persistent link: https://www.econbiz.de/10011241198