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This paper develops a new framework and statistical tools to analyze stock returns using high-frequency data. We consider a continuous-time multifactor model via a continuous-time multivariate regression model incorporating realistic empirical features, such as persistent stochastic volatilities...
Persistent link: https://www.econbiz.de/10011800879
In this paper, we analyze regressions with observations collected at small time intervals over a long period of time. For the formal asymptotic analysis, we assume that samples are obtained from continuous time stochastic processes, and let the sampling interval δ shrink down to zero and the...
Persistent link: https://www.econbiz.de/10015423089
Using a novel approach to model regime switching with dynamic feedback and interactions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...
Persistent link: https://www.econbiz.de/10014355942
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Using a novel approach to model regime switching with dynamic feedback and inter-actions, we extract latent mean and volatility factors in oil price changes. We illustrate how the volatility factor constitutes a useful measure of oil market risk (or oil price uncertainty) for policy makers and...
Persistent link: https://www.econbiz.de/10014256633
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