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

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

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

Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Dungey, Mardi H. - 2019

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

Persistent link: https://www.econbiz.de/10012903285

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility … exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news … increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC …

Persistent link: https://www.econbiz.de/10013406297

Forecasting International Index Returns Using Option-Implied Variables

Gagnon, Marie-Hélène; Power, Gabriel; Toupin, Dominique - 2018

This paper investigates international index return predictability using option-implied information. We document the significant predictive power of the variance risk premium (VRP), Foster-Hart risk (FH), and higher-order moments for horizons ranging from 1 to 250 days. Our results from...

Persistent link: https://www.econbiz.de/10014112697

Modeling Stock Price Movements : Multifractality or Multifractionality?

Bianchi, Sergio - 2011

The scaling properties of two alternative fractal models recently proposed to characterize the dynamics of stock market prices are compared. The former is the Multifractal Model of Asset Return (MMAR) introduced in 1997 by Mandelbrot, Calvet and Fisher in three companion papers. The latter is...

Persistent link: https://www.econbiz.de/10013122371

Investor Sentiment, Volatility and Stock Return Comovements

Chandra, Abhijeet - 2013

comovements and the other volatility-induced return comovements. Following Baker and Wurglur (2006), we construct an investor … market volatility. We find that a correlated trading behaviour along with investor sentiment significantly determines excess … stock returns. Also stocks with high volatility exhibit higher return comovement properties compared to low volatilie stocks …

Persistent link: https://www.econbiz.de/10013073102

Volatility in Gold Price Returns : An Investigation from International Market

Ahmad, Nawaz - 2013

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has … results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In … was concluded that there has been volatility in gold prices …

Persistent link: https://www.econbiz.de/10013076098