Similar Search Results

Market Instability and Technical Trading at High Frequency : Evidence from NASDAQ Stocks

Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - 2021

. While the literature has widely shown that exogenous news releases trigger these jumps, very little is known about the …. Our results support the view that the explanations for intraday market instability are not limited to news releases …

Persistent link: https://www.econbiz.de/10014088061

Jumps in Equilibrium Prices and Market Microstructure Noise

Lee, Suzanne S. - 2012

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

Persistent link: https://www.econbiz.de/10013115585

Spot variance path estimation and its application to high frequency jump testing

Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 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/10011379469

Overreaction and multiple tail dependence at the high-frequency level : the copula rose

Ng, Wing Lon (contributor) - 2006

This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...

Persistent link: https://www.econbiz.de/10003402780

On the efficiency of stock markets : a case of selected OPEC member countries

Olubiyi, Ebenezer Adesoji; Olopade, Peter O. - In: CBN journal of applied statistics 9 (2018) 2, pp. 75-101

hypothesis and volatility approaches using monthly data on stock market indices from January, 2005 to April, 2016. Parametric …-form efficient. The volatility results suggest that monthly stock returns of OPEC countries are volatile, with Qatar being most … volatile and shocks to volatility of stock returns are asymmetric. The implications of this are that: first, investors should …

Persistent link: https://www.econbiz.de/10012031155

Macroeconomic News Effects on the Stock Markets in Intraday Data

Bedowska-Sojka, Barbara - 2017

macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC … immediate response in returns and volatility of the German and the French stock market sampled at a five-minute frequency. The …

Persistent link: https://www.econbiz.de/10012942389

Short patches of outliers, ARCH and volatility modeling

Franses, Philip Hans; Dijk, Dick van; Lucas, André - 1998

In this paper we test for (Generalized) AutoRegressive Conditional Heteroskedasticity [(G)ARCH] in daily data on 22 exchange rates and 13 stock market indices using the standard Lagrange Multiplier [LM] test for GARCH and a LM test that is resistant to patches of additive outliers. The data span...

Persistent link: https://www.econbiz.de/10011284080

Secular Mean Reversion and Long-Run Predictability of the Stock Market

Zakamulin, Valeriy - 2015

Empirical financial literature documents the evidence of mean reversion in stock prices and the absence of out-of-sample return predictability over periods shorter than 10 years. The goal of this paper is to test the random walk hypothesis in stock prices and return predictability over periods...

Persistent link: https://www.econbiz.de/10013036031

Building news measures from textual data and an application to volatility forecasting

Caporin, Massimiliano; Poli, Francesco - In: Econometrics : open access journal 5 (2017) 3, pp. 1-46

We retrieve news stories and earnings announcements of the S&P 100 constituents from two professional news providers … which to analyze the link between news and asset price dynamics. We detect the sentiment of news stories using a dictionary … information measures on daily realized volatility and select them by penalized regression. Then, we perform a forecasting exercise …

Persistent link: https://www.econbiz.de/10011711085

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970