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A no-arbitrage approach to range-based estimation of return covariances and correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …
Persistent link: https://www.econbiz.de/10010958542
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - Center for Financial Studies - 2004
We extend the important idea of range-based volatility estimation to the multivariate case. In particular, we propose a … addition to statistical considerations. We show that, unlike other univariate and multivariate volatility estimators, the range …
Persistent link: https://www.econbiz.de/10005600448
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10010958666
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - Center for Financial Studies - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...
Persistent link: https://www.econbiz.de/10010958683
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Capturing the zero: A new class of zero-augmented distributions and multiplicative error processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Center for Financial Studies - 2011
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed at high frequencies, such as cumulated trading volumes. We introduce a flexible point-mass...
Persistent link: https://www.econbiz.de/10010958711
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - Center for Financial Studies - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...
Persistent link: https://www.econbiz.de/10010958809
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A partially linear approach to modelling the dynamics of spot and futures prices
Gaul, Jürgen; Theissen, Erik - Center for Financial Studies - 2008
In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...
Persistent link: https://www.econbiz.de/10010986473
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Forecasting stock market volatility and the informational efficiency of the DAX-index options market
Claessen, Holger; Mittnik, Stefan - Center for Financial Studies - 2002
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments … implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors …, such as GARCH models, are investigated, to determine if they are more appropriate for predicting future return volatility …
Persistent link: https://www.econbiz.de/10010958558
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Quantifying high-frequency market reactions to real-time news sentiment announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Center for Financial Studies - 2009
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …We examine intra-day market reactions to news in stock-specific sentiment disclosures. Using pre-processed data from an …
Persistent link: https://www.econbiz.de/10010986436
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Price pressures
Hendershott, Terrence; Menkveld, Albert J. - Center for Financial Studies - 2010
.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …
Persistent link: https://www.econbiz.de/10010958491