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Anempirical model of daily highs and lows

Cheung, Yin-Wong - 2006

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...

Persistent link: https://www.econbiz.de/10010261433

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010318750

Modeling time-varying dependencies between positive-valued high-frequency time series

Hautsch, Nikolaus; Okhrin, Ostap; Ristig, Alexander - 2012

, realized volatilities and trading volumes. The parametric estimation of the corresponding multivariate model, the so … distribution functions on Rd + defined via a copula. Maximum likelihood estimation is based on the assumption of constant copula … identified intervals of homogenous dependence. This paper summarizes the important aspects of (V)MEM, its estimation and a …

Persistent link: https://www.econbiz.de/10010318757

Tackling boundary effects in nonparametric estimation of intra-day liquidity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2001

Persistent link: https://www.econbiz.de/10010316239

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

modelling bias and estimation (in)efficiency. In forecasting, the proposed adaptive approach significantly outperforms a MEM … where local estimation windows are fixed on an ad hoc basis. …

Persistent link: https://www.econbiz.de/10010330969

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011538004

Long memory and tail dependence in trading volume and volatility

Rossi, Eduardo; Santucci de Magistris, Paolo; … - 2008

During the last decades a wide literature has focused on the relationship volume-volatility on financial markets. This paper investigates the temporal dynamics of volatility and volumes, supposing, as in Bollerslev and Jubinsky (1999), that the link has to be found in their long-run...

Persistent link: https://www.econbiz.de/10010326126

Bias-free nonparametric estimation of intra-day trade activity measures

Grammig, Joachim; Hujer, Reinhard; Kokot, Stefan - 2000

Persistent link: https://www.econbiz.de/10010316265

A blocking and regularization approach to high dimensional realized covariance estimation

Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009

We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10010270808

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Jung, Robert; Liesenfeld, Roman; Richard, Jean-François - 2008

). Maximum Likelihood estimation requires high-dimensional numerical integration in order to marginalize the joint distribution …

Persistent link: https://www.econbiz.de/10010296304