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On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus; Teis, Stefan - 2015

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

Maximum entropy models for time-varying moments applied to daily financial returns

Herrmann, Klaus - 2011

Persistent link: https://www.econbiz.de/10009008742

An alternative maximum entropy model for time-varying moments with application to financial returns

Herrmann, Klaus; Fischer, Matthias - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 3, pp. 1-21

Persistent link: https://www.econbiz.de/10009515146

On the distribution of sums of random variables with copula-induced dependence

Gijbels, Irène; Herrmann, Klaus - In: Insurance / Mathematics & economics 59 (2014), pp. 27-44

Persistent link: https://www.econbiz.de/10010469189

On the power and size properties of cointegration tests in the light of high-frequency stylized facts

Krauss, Christopher; Herrmann, Klaus - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-24

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