Search Results - subject:"high–frequency data"

Bipower-type estimation in a noisy diffusion setting

Podolskij, Mark; Vetter, Mathias - School of Economics and Management, University of Aarhus - 2008

We consider a new class of estimators for volatility functionals in the setting of frequently observed Itô diffusions which are disturbed by i.i.d. noise. These statistics extend the approach of pre-averaging as a general method for the estimation of the integrated volatility in the presence of...

Persistent link: https://www.econbiz.de/10005440053

An Econometric Analysis of Modulated Realised Covariance, Regression and Correlation in Noisy Diffusion Models

Kinnebrock, Silja; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2008

This paper introduces a new estimator to measure the ex-post covariation between high-frequency financial time series under market microstructure noise. We provide an asymptotic limit theory (including feasible central limit theorems) for standard methods such as regression, correlation analysis...

Persistent link: https://www.econbiz.de/10005440072

On the correlation structure of microstructure noise in theory and practice

Diebold, Francis X.; Strasser, Georg H. - Center for Financial Studies - 2008

We argue for incorporating the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise,...

Persistent link: https://www.econbiz.de/10010958580

Abnormal Accrual, Informed Trader, and Long-Term Stock Return: Evidence from Japan

Muramiya, Katsuhiko; Otogawa, Kazuhisa; Takada, Tomomi - Research Institute for Economics and Business … - 2008

This study examines the association among abnormal accruals, long-term stock returns, and probability of informed trading. Some analytical and empirical research for postearnings announcement drift provide evidence that a high arrival rate of informed traders helps stock prices become more...

Persistent link: https://www.econbiz.de/10005042562

On the Correlation Structure of Microstructure Noise: A Financial Economic Approach

Strasser, Georg; Diebold, Francis X. - Department of Economics, Boston College - 2008

We introduce the financial economics of market microstructure into the financial econometrics of asset return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function between latent returns and market microstructure noise, which feature...

Persistent link: https://www.econbiz.de/10005074143

The Sources of Volatility Transmission in the Euro Area Money Market: From Longer Maturities to the Overnight?

Zagaglia, Paolo - Nationalekonomiska institutionen, Stockholms Universitet - 2008

This note investigates the transmission of volatility from longer maturities to the overnight segment of the Euro area money market. I use non-parametric estimates of the daily variance of swap rates to test for block exogeneity with respect to the overnight. The results suggest that there...

Persistent link: https://www.econbiz.de/10005648546

Money-market segmentation in the Euro area: what has changed during the turmoil?

Zagaglia, Paolo - Suomen Pankki - 2008

In this paper we study how the pattern of segmentation in the euro area money market has been affected by the recent turmoil in financial markets. We use nonparametric estimates of realized volatility to test for volatility spillovers between rates at different maturities. For the pre-turmoil...

Persistent link: https://www.econbiz.de/10005648863

Modelling High-Frequency Volatility and Liquidity Using Multiplicative Error Models

Hautsch, Nikolaus; Jeleskovic, Vahidin - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008

modern financial econometrics. Key variables in empirical studies of high-frequency data are price volatilities, trading … asymptotic 95% confidence intervals. A typical feature of high-frequency data is the strong influence of intra-day sea- 9 BHP … trading costs mainly depend on their own history. Keywords: Multiplicative error models, volatility, liquidity, high-frequency …

Persistent link: https://www.econbiz.de/10005677925

Continuous-Time Models, Realized Volatilities, and Testable Distributional Implications for Daily Stock Returns

Andersen, Torben G.; Bollerslev, Tim; Frederiksen, Per; … - Economics Department, Queen's University - 2008

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time jump diffusion models traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures...

Persistent link: https://www.econbiz.de/10005688350

High-Frequency Analysis of Foreign Exchange Interventions: What do we learn?

Menkhoff, Lukas - CESifo - 2008

The high-frequency analysis of foreign exchange dynamics is helpful in order to better identify the impact of central bank interventions. Evidence robustly shows that interventions do indeed move the exchange rate level in the desired direction. Interventions increase volatility in the short run...

Persistent link: https://www.econbiz.de/10005765791