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Testing for extreme volatility transmission with realized volatility measures

Boucher, Christophe; Truchis, Gilles de; Dumitrescu, … - 2017

Persistent link: https://www.econbiz.de/10011738966

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - 2015

Persistent link: https://www.econbiz.de/10011736615

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Housewives of Tokyo versus the gnomes of Zurich : measuring price discovery in sequential markets

Wang, Jian-xin; Yang, Minxian - In: Journal of financial markets 14 (2011) 1, pp. 82-108

Persistent link: https://www.econbiz.de/10009267110

Statistical causes for the Epps effect in microstructure noise

Münnix, Michael C.; Schäfer, Rudi; Guhr, Thomas - In: International journal of theoretical and applied finance 14 (2011) 8, pp. 1231-1246

Persistent link: https://www.econbiz.de/10009541998

Macroeconomic announcements and price discovery in the foreign exchange market

Gau, Yin-feng; Wu, Zhen-Xing - In: Journal of international money and finance 79 (2017), pp. 232-254

Persistent link: https://www.econbiz.de/10011788364

Oil prices, exchange rates and asset prices

Fratzscher, Marcel; Schneider, Daniel; Van Robays, Ine - 2013

asset prices, and it exploits the heteroskedasticity for the identification of causality in a multifactor model. It finds a …

Persistent link: https://www.econbiz.de/10009748353

The VIX, the variance premium, and expected returns

Osterrieder, Daniela; Ventosa-Santaulària, Daniel; … - In: Journal of financial econometrics 17 (2019) 4, pp. 517-558

Persistent link: https://www.econbiz.de/10012149836

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

Hautsch, Nikolaus; Hess, Dieter E.; Veredas, David - 2010

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

Persistent link: https://www.econbiz.de/10010274304