Showing 1 - 10 of 49
Persistent link: https://www.econbiz.de/10014304709
This paper proposes a new approach for estimating and forecasting the moments and probability density function of daily financial returns from intraday data. This is achieved through a new application of the distributional scaling laws for the class of multifractal processes. Density forecasts...
Persistent link: https://www.econbiz.de/10010939731
Persistent link: https://www.econbiz.de/10011911533
Persistent link: https://www.econbiz.de/10012178998
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness. We also show that variance decompositions define weighted, directed networks, so that our connectedness measures are intimately...
Persistent link: https://www.econbiz.de/10011052250
This paper investigates the responsiveness of asset markets to monetary policy path revisions. Using federal funds futures contracts to extract near-term path revisions, we find that the responsiveness of longer term Treasury securities to path revisions is significantly asymmetric, the...
Persistent link: https://www.econbiz.de/10011065296
Persistent link: https://www.econbiz.de/10014416048
Persistent link: https://www.econbiz.de/10008656199
Persistent link: https://www.econbiz.de/10009355159
Persistent link: https://www.econbiz.de/10011588540