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Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
implemented, VaR or ES deliver estimates in line with what the theory predicts. We show, however, that when UHFT is considered …, assuming finite higher order moments, potential losses are much bigger than what the theory predicts, and they increase …-tailed distribution, tend to have higher sample moments than the theory suggests - we call this phenomenon superkurtosis. Our findings …
Persistent link: https://www.econbiz.de/10015259102
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Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2021
theory predicts, and they increase exponentially as the trading frequency increases - a phenomenon we call superkurtosis …
Persistent link: https://www.econbiz.de/10015259104
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Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
Very little is known on how traditional risk metrics behave in ultra high frequency trading (UHFT). We fi�ll this void �firstly by examining the existence of the intraday returns moments, and secondly by assessing the impact of their (non)existence in a risk management framework. We show...
Persistent link: https://www.econbiz.de/10015264291
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Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
implemented, VaR or ES deliver estimates in line with what the theory predicts. We show, however, that when UHFT is considered …, assuming finite higher order moments, potential losses are much bigger than what the theory predicts, and they increase …-tailed distribution, tend to have higher sample moments than the theory suggests - we call this phenomenon superkurtosis. Our findings …
Persistent link: https://www.econbiz.de/10015265411
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The Mean Squared Prediction Error Paradox
Pincheira, Pablo; Hardy, Nicolas - 2021
In this paper, we show that traditional comparisons of Mean Squared Prediction Error (MSPE) between two competing forecasts may be highly controversial. This is so because when some specific conditions of efficiency are not met, the forecast displaying the lowest MSPE will also display the...
Persistent link: https://www.econbiz.de/10015241474
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Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement
Kim, Jae; Choi, In - 2015
This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...
Persistent link: https://www.econbiz.de/10015250065
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Unit Roots in Economic and Financial Time Series: A Re-Evaluation based on Enlightened Judgement
Kim, Jae; Choi, In - 2015
This paper re-evaluates the key past results of unit root test, emphasizing that the use of a conventional level of significance is not in general optimal due to the test having low power. The optimal levels for popular unit root tests, chosen using the line of enlightened judgement under a...
Persistent link: https://www.econbiz.de/10015250104
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Superkurtosis
Degiannakis, Stavros; Filis, George; Siourounis, Grigorios - 2019
implemented, VaR or ES deliver estimates in line with what the theory predicts. We show, however, that when UHFT is considered …, assuming finite higher order moments, potential losses are much bigger than what the theory predicts, and they increase …-tailed distribution, tend to have higher sample moments than the theory suggests - we call this phenomenon superkurtosis. Our findings …
Persistent link: https://www.econbiz.de/10015212854
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Earnings Management to Avoid Losses and Earnings Declines in Croatia
Degiannakis, Stavros; Giannopoulos, George; Ibrahim, Salma - 2017
This paper provides empirical evidence that Croatian companies manage reported earnings to avoid losses and earnings declines. Specifically, we find that the cross-sectional distribution of scaled earnings and changes in earnings show high frequencies of small positive earnings and small...
Persistent link: https://www.econbiz.de/10015256690
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On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016
Cifarelli, Giulio; Paesani, Paolo - 2017
Our results show that over the two cycles that characterize the 2003-2016 period a significant change in the working of oil markets occurs. Our pricing investigation, based on a three-agent model (hedgers, fundamentalist speculators and chartists), find that from 2009 onwards traditional...
Persistent link: https://www.econbiz.de/10015258948