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Modeling the interdependence of volatility and inter-transaction duration processes

Grammig, Joachim; Wellner, Marc - 1999

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

Persistent link: https://www.econbiz.de/10009579173

Revisiting the Duration Dependence in the US Stock Market Cycles

Zakamulin, Valeriy - 2020

market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …

Persistent link: https://www.econbiz.de/10012833990

The dynamics of trading duration, volume and price volatility : a vector MEM model

Xu, Yongdeng (contributor) - 2013

We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

Persistent link: https://www.econbiz.de/10009738886

Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity

Dubrana, Ludovic - 2011

Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...

Persistent link: https://www.econbiz.de/10013118101

Cross hedging stock sector risk with index futures by considering the global equity systematic risk

Hsu, Wen Chung; Lee, Hsiang-Tai - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

This article investigates the effectiveness of TAIEX (Taiwan Stock Exchange) futures, Taiwan 50 futures, and nonfinance nonelectronics subindex (NFNE) futures for cross hedging the price risk of stock sector indices traded on the Taiwan stock exchange. A state-dependent volatility spillover...

Persistent link: https://www.econbiz.de/10011883272

Return Dispersion, Stock Market Liquidity and Aggregate Economic Activity

Degiannakis, Stavros; Andrikopulos, Andreas A.; … - 2022

This paper examines the effect of return dispersion on the dynamics of stock market liquidity, risk and return. Moreover, the importance of return dispersion in forecasting aggregate economic activity is rediscovered in the context of a regime switching model that accounts for stock market...

Persistent link: https://www.econbiz.de/10013403197

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

Modelling Systemic Price Cojumps with Hawkes Factor Models

Bormetti, Giacomo - 2013

Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...

Persistent link: https://www.econbiz.de/10013087635

Price impact and the recovery of the limit order book : why should we care about informed liquidity providers?

Havran, Dániel; Váradi, Kata - 2015

We examine the dynamics of the limit order book recovery in the purely order-driven markets. The configuration of the current limit placements in the order book determines the costs over the mid-quote for the buy and sell trades. By analyzing the relationship between the costs of the possible...

Persistent link: https://www.econbiz.de/10011317119

A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns

Bekierman, Jeremias - 2019

We propose a mixed frequency stochastic volatility (MFSV) model for the dynamics of intraday asset return volatility. In order to account for long-memory we separate stochastic daily and intraday volatility patterns by introducing a long-run component that changes at daily frequency and a...

Persistent link: https://www.econbiz.de/10012903646