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Adaptive order flow forecasting with multiplicative error models
Härdle, Wolfgang; Mihoci, Andrija; Ting, Christopher - 2014
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
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Robustifying and simplifying high-dimensional regression with applications to yearly stock return and telematics data
Marchese, Malvina; Martinez Miranda, Maria Dolores; … - In: Financial innovation : FIN 10 (2024), pp. 1-16
The availability of many variables with predictive power makes their selection in a regression context difficult. This study considers robust and understandable low-dimensional estimators as building blocks to improve overall predictive power by optimally combining these building blocks. Our new...
Persistent link: https://www.econbiz.de/10015361553
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Volatility Estimation and Forecasts Based on Price Durations
Hong, Seok Young - 2020
duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi … estimators. We provide simulation and forecasting evidence that price duration estimators can extract relevant information from …-implied variance estimators, when considered in isolation or as part of a forecasting combination setting …
Persistent link: https://www.econbiz.de/10012855793
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The Nonlinear Dynamic Relationship between Stock Prices and Exchange Rates in Asian Countries
Sakemoto, Ryuta - 2017
This study explores dynamic relationships between stock prices and exchange rates in Asian countries. These relationships are complex and include both linear and nonlinear relationships. We employ a nonparametric causality test to explore them. The nonparametric causality test is more robust to...
Persistent link: https://www.econbiz.de/10012946764
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Are Benefits from Oil - Stocks Diversification Gone? New Evidence from a Dynamic Copula and High Frequency Data
Avdulaj, Krenar - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10013035318
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Co-Dependence of Extreme Events in High Frequency FX Returns
Polanski, Arnold - 2014
In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we...
Persistent link: https://www.econbiz.de/10013059570
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Co-Dependence of Extreme Events in High Frequency FX Returns
Polanski, Arnold - 2014
In this paper, we investigate extreme events in high frequency, multivariate FX returns within a purposely built framework. We generalize univariate tests and concepts to multidimensional settings and employ these novel techniques for parametric and nonparametric analysis. In particular, we...
Persistent link: https://www.econbiz.de/10013059573
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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
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Nonparametric Kernel density estimation near the boundary
Malec, Peter; Schienle, Melanie - 2012 - This Version: August 13, 2012
Standard fixed symmetric kernel type density estimators are known to encounter problems for positive random variables with a large probability mass close to zero. We show that in such settings, alternatives of asymmetric gamma kernel estimators are superior but also differ in asymptotic and...
Persistent link: https://www.econbiz.de/10009577035
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Are benefits from oil-stocks diversification gone? : new evidence from a dynamic copula and high frequency data
Avdulaj, Krenar; Barunik, Jozef - 2015
Oil is perceived as a good diversification tool for stock markets. To fully understand this potential, we propose a new empirical methodology that combines generalized autoregressive score copula functions with high frequency data and allows us to capture and forecast the conditional...
Persistent link: https://www.econbiz.de/10010499593