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

Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Institute - 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/10008513245

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

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

This discussion paper resulted in an article in the Journal of Financial Econometrics (2012). Vol. 10, pages 354-389. 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...

Persistent link: https://www.econbiz.de/10011255584

Outlier Detection in GARCH Models

Doornik, Jurgen A.; Ooms, Marius - Tinbergen Instituut - 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/10011257361

Outlier Detection in GARCH Models

Doornik, Jurgen A.; Ooms, Marius - Tinbergen Institute - 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 … alternative methods, especially when it comes to determining the date of the outlier. We apply the method to returns of the Dow …

Persistent link: https://www.econbiz.de/10005144394

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

Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Institute - 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/10005144404

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

Hallerbach, Winfried G. - Tinbergen Institute - 2000

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

Persistent link: https://www.econbiz.de/10005209446

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

Hallerbach, Winfried G. - Tinbergen Instituut - 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/10011255499

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

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

This discussion paper resulted in an article in the Journal of the American Statistical Association (2007). Vol. 102, issue 477, pages 16-27. Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...

Persistent link: https://www.econbiz.de/10011256266

Identifying Cross-Sided Liquidity Externalities

Skjeltorp, Johannes A.; Sojli, Elvira; Tham, Wing Wah - Tinbergen Instituut - 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/10011257182

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

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

This discussion paper resulted in a publication in the 'Journal of Banking and Finance', 2014, 38, 89-105. 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...

Persistent link: https://www.econbiz.de/10011257218