Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10009008742
Persistent link: https://www.econbiz.de/10009515146
Persistent link: https://www.econbiz.de/10010469189
The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive...
Persistent link: https://www.econbiz.de/10010442584
This paper first establishes a selection of stylized facts for high-frequency cointegration processes in the European equity market. Empirical evidence is given by one minute-binned transaction data of all DAX 30 constituents as traded on Deutsche Börse's Xetra market in 2014. A methodology is...
Persistent link: https://www.econbiz.de/10011341383
This paper establishes a selection of stylized facts for high-frequency cointegrated processes, based on one-minute-binned transaction data. A methodology is introduced to simulate cointegrated stock pairs, following none, some or all of these stylized facts. AR(1)-GARCH(1,1) and...
Persistent link: https://www.econbiz.de/10011619116