Search Results - subject:"high–frequency data"

Efecto de una política monetaria de compra de activos en una economía emergente

Tamborrel, Luis Simon - In: Gaceta de economía 20 (2014) 32, pp. 27-57

Persistent link: https://www.econbiz.de/10011581277

Euro area market reactions to the monetary developments press release

Coffinet, Jerome; Gouteron, Sylvain - 2007

Using intra-day data, we assess the impact of the press release on euro area monetary data on the different segments of the euro area yield curve. For this purpose, we estimate a relation between the “news” or “surprise” in the released data for annual M3 growth and the move in the...

Persistent link: https://www.econbiz.de/10011604838

Euro area market reactions to the monetary developments press release

Coffinet, Jerome; Gouteron, Sylvain - European Central Bank - 2007

Persistent link: https://www.econbiz.de/10005530678

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2007

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the type dXt = a(t,Xt)dt + s(t,Xt)dWt. Our approach involves a range-based estimation of the integrated volatility and the integrated quarticity, which are used to construct the test...

Persistent link: https://www.econbiz.de/10005440034

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071

Multipower Variation Under Market Microstructure Effects

Ysusi, Carla - Banco de México - 2007

The asymptotic theories used to estimate the integrated variance using realised variance or multipower variation suggest that returns should be sampled at the highest possible frequency. This leads to a bias problem due to market microstructure effects that can completely invalidate the theory....

Persistent link: https://www.econbiz.de/10004967936

Estimating Quadratic Variation When Quoted Prices Change by a Constant Increment

Large, Jeremy - Department of Economics, Oxford University - 2007

For financial assets whose best quotes almost always change by jumping by the market`s price tick size (one cent, five cents, etc.), this paper proposes an estimator of Quadratic Variation which controls for microstructure effects. It measures the prevalence of alternations, where quotes jump...

Persistent link: https://www.econbiz.de/10004977856

Good News is No News

van Dijk, Dick - Erasmus Research Institute of Management (ERIM), … - 2007

that using high-frequency data makes it possible to accurately measure the reaction of stock prices on the New York stock …

Persistent link: https://www.econbiz.de/10010730466

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

van Dijk, Dick; Chulia-Soler, Chulia-Soler, H.; … - Erasmus Research Institute of Management (ERIM), … - 2007

We study the impact of FOMC announcements of Federal funds target rate decisions on individual stock prices at the intraday level. We find that the returns, volatilities and correlations of the S&P100 index constituents only respond to the surprise component in the announcement, as measured by...

Persistent link: https://www.econbiz.de/10010731264

The Effects of Federal Funds Target Rate Changes on S&P100 Stock Returns, Volatilities, and Correlations

Chulia-Soler, H.; Martens, M.P.E.; Dijk, D.J.C. van - Erasmus Research Institute of Management (ERIM), ERIM … - 2007

, high-frequency data, realized volatility Availability The ERIM Report Series is distributed through the following …, interest rate surprises, high- frequency data, realized volatility JEL Classiflcation: E44, E52, G14 ⁄We thank participants at … the Stanford Institute for Theoretical Economics (SITE) Summer 2007 Workshop on the \Economic Analysis of High-Frequency …

Persistent link: https://www.econbiz.de/10004991151