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Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011755339

Forecasting the Realized Variance in the Presence of Intraday Periodicity

Dumitru, Ana-Maria; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019

This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump estimators. This combined effect adversely affects...

Persistent link: https://www.econbiz.de/10011984730

Incorporating cost in power analysis for three-level cluster randomized designs

Konstantopoulos, Spyros - 2008

In experimental designs with nested structures entire groups (such as schools) are often assigned to treatment conditions. Key aspects of the design in these cluster randomized experiments include knowledge of the intraclass correlation structure and the sample sizes necessary to achieve...

Persistent link: https://www.econbiz.de/10010269059

The Yield of Ten-Year T-Bonds: Stumbling Towards a 'Good' Forecast

Weißbach, Rafael; Ponyatovskyy, Vladyslav; Zimmermann, … - 2006

monetary policy, the interest in a "good" forecast of the constant maturity yield of the 10-year U.S. Treasury bond ("T … yields, dating from 1962 to 2005, into a training sample and a test sample reveals the forecast to be biased. A new bias …-corrected version is developed and forecasts for March 2005 to February 2006 are presented. In addition to point estimates forecast …

Persistent link: https://www.econbiz.de/10010296765

Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

Christensen, Kim; Podolskij, Mark; Vetter, Mathias - 2006

Market microstructure noise is a challenge to high-frequency based estimation of the integrated variance, because the noise accumulates with the sampling frequency. In this paper, we analyze the impact of microstructure noise on the realized range-based variance and propose a bias-correction to...

Persistent link: https://www.econbiz.de/10010296767

Nearly Unbiased Estimationin Dynamic Panel Data Models

Carree, Martin A. - 2002

This paper introduces two easy to calculate estimators with desirable properties for theautoregressive parameter in dynamic panel data models. The estimators are (nearly) unbiased andperform satisfactorily even for small samples in either the time-series or cross-section dimension.

Persistent link: https://www.econbiz.de/10010324776

Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - 2013

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates...

Persistent link: https://www.econbiz.de/10011441830

Estimation with mixed data frequencies: A bias-correction approach

Ghosh, Anisha; Linton, Oliver Bruce - 2019

realistic scenarios. The methodology lends itself to additional applications, such as the empirical evaluation of factor models …

Persistent link: https://www.econbiz.de/10012146417

Bias-corrected confidence intervals in a class of linear inverse problems

Florens, Jean-Pierre; Horowitz, Joel; van Keilegom, Ingrid - 2016

In this paper we propose a novel method to construct confidence intervals in a class of linear inverse problems. First, point estimators are obtained via a spectral cut-off method depending on a regularisation parameter », that determines the bias of the estimator. Next, the proposed confidence...

Persistent link: https://www.econbiz.de/10011594329

Corporate sustainability performance and profitability: The moderating role of liquidity and stock price volatility - evidence from Jordan

Taha, Rana; Al-Omush, Ahmed; Al-Nimer, Munther - In: Cogent Business & Management 10 (2023) 1, pp. 1-17

moderate CSP's effect on the profitability of industrial companies listed on the ASE. Empirical evidence suggests that … methodology and evaluation of corporate sustainability in this context may also be helpful to other researchers on corporate …

Persistent link: https://www.econbiz.de/10014527904