Showing 1 - 10 of 42,756
Persistent link: https://www.econbiz.de/10009615704
The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...
Persistent link: https://www.econbiz.de/10011335205
Persistent link: https://www.econbiz.de/10011818360
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
Persistent link: https://www.econbiz.de/10014471397
Persistent link: https://www.econbiz.de/10014227916
We introduce a statistical test for simultaneous jumps in the price of a financial asset and its volatility process. The proposed test is based on high-frequency tick-data and is robust to market microstructure frictions. To localize volatility jumps, we design and analyze a nonparametric...
Persistent link: https://www.econbiz.de/10010384595
Persistent link: https://www.econbiz.de/10011738476
We propose a new method to implement the Business Time Sampling (BTS) scheme for high-frequency financial data. We compute a time-transformation (TT) function using the intraday integrated volatility estimated by a jump-robust method. The BTS transactions are obtained using the inverse of the TT...
Persistent link: https://www.econbiz.de/10011781945
Persistent link: https://www.econbiz.de/10012304092