Search Results - subject:"synchronous data"

Autocorrelation in the global stochastic trend

Durdyev, Ruslan; Peresetsky, Анатолий … - In: Applied Econometrics 35 (2014) 3, pp. 39-58

stochastic trend from discrete non-synchronous data on daily stock market index returns from different markets. We extend this …

Persistent link: https://www.econbiz.de/10010937055

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2014

, dependent microstructure noise, irregularly spaced and non-synchronous data. Due to our focus on nonstudentized statistics, our …

Persistent link: https://www.econbiz.de/10010937808

Extracting global stochastic trend from non-synchronous data

Korhonen, Iikka; Peresetsky, Anatoly - 2013

We use a Kalman filter type model of financial markets to extract a global stochastic trend from the discrete non-synchronous … data on daily stock market index returns of different stock exchanges. The model is tested for robustness. In addition, we …

Persistent link: https://www.econbiz.de/10012148701

Extracting global stochastic trend from non-synchronous data

Korhonen, Iikka; Peresetsky, Anatoly - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2013

Persistent link: https://www.econbiz.de/10010674216

Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Shephard, Neil; Xiu, Dacheng - Department of Economics, Oxford University - 2012

Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects. In this paper we extend Xiu's univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...

Persistent link: https://www.econbiz.de/10011004207

Econometric analysis of multivariate realised QML: efficient positive semi-definite estimators of the covariation of equity prices

Shephard, Neil; Xiu, Dacheng - Economics Group, Nuffield College, University of Oxford - 2012

Estimating the covariance and correlation between assets using high frequency data is challenging due to market microstructure effects and Epps effects. In this paper we extend Xiu’s univariate QML approach to the multivariate case, carrying out inference as if the observations arise from an...

Persistent link: https://www.econbiz.de/10010553068

Autocorrelation in an unobservable global trend : does it help to forecast market returns?

Peresetsky, Anatoly A.; Yakubov, Ruslan I. - In: International journal of computational economics and … 7 (2017) 1/2, pp. 152-169

Persistent link: https://www.econbiz.de/10011713553

Bootstrapping integrated covariance matrix estimators in noisy jump-diffusion models with non-synchronous trading

Hounyo, Ulrich - In: Journal of econometrics 197 (2017) 1, pp. 130-152

Persistent link: https://www.econbiz.de/10011818349