Similar Search Results

Spot Variance Path Estimation and its Application to High Frequency Jump Testing

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - 2009

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Persistent link: https://www.econbiz.de/10010325674

Outlier Detection in GARCH Models

Doornik, Jurgen A.; Ooms, Marius - 2005

We present a new procedure for detecting multiple additive outliers in GARCH(1,1) models at unknown dates. The outlier … presence and timing of an outlier. Next, a second test determines the type of additive outlier (volatility or level). The tests … methods, especially when it comes to determining the date of the outlier. We apply the method to returns of the Dow Jones …

Persistent link: https://www.econbiz.de/10010325338

Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - 2005

Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis of daily electricity spot prices. The parameters of the model with mean and variance specifications are estimated simultaneously by the method...

Persistent link: https://www.econbiz.de/10010325542

A Time-Varying Parameter Model for Local Explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - 2018

Locally explosive behavior is observed in many economic and financial time series when bubbles are formed. We introduce a time-varying parameter model that is capable of describing this behavior in time series data. Our proposed model can be used to predict the emergence, existence and burst of...

Persistent link: https://www.econbiz.de/10011932359

Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration

Hallerbach, Winfried G. - 2000

Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...

Persistent link: https://www.econbiz.de/10010324663

Identifying Cross-Sided Liquidity Externalities

Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah - 2013

We study the relevance of the cross-sided externality between liquidity makers and takers from the two-sided market perspective. We use exogenous changes in the make/take fee structure, minimum tick-size and technological shocks for liquidity takers and makers, as experiments to identify...

Persistent link: https://www.econbiz.de/10010326238

Sunshine Trading: Flashes of Trading Intent at the NASDAQ

Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah - 2012

We use the introduction and the subsequent removal of the flash order facility (an actionable indication of interest, IOI) from the NASDAQ as a natural experiment to investigatethe impact of voluntary disclosure of trading intent on market quality. We find that flashorders significantly improve...

Persistent link: https://www.econbiz.de/10010326337

Aggregate Stock Market Illiquidity and Bond Risk Premia

Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - 2012

We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...

Persistent link: https://www.econbiz.de/10010326359

High-Frequency Technical Trading: The Importance of Speed

Scholtus, Martin; van Dijk, Dick - 2012

This paper investigates the importance of speed for technical trading rule performance for three highly liquid ETFs listed on NASDAQ over the period January 6, 2009 up to September 30, 2009. In addition we examine the characteristics of market activity over the day and within subperiods...

Persistent link: https://www.econbiz.de/10010326515

Speed, Algorithmic Trading, and Market Quality around Macroeconomic News Announcements

Scholtus, Martin L.; van Dijk, Dick; Frijns, Bart - 2012

This paper documents that speed is crucially important for high frequency trading strategies based on U.S. macroeconomic news releases. Using order level data of the highly liquid S&P500 ETF traded on NASDAQ from January 6, 2009, to December 12, 2011, we find that a delay of 300 milliseconds (1...

Persistent link: https://www.econbiz.de/10010326544