Narrow search
Showing 1 - 10 of 40
Cover Image
Volatility forecasting: Downside risk, jumps and leverage effect
Audrino, Francesco; Hu, Yujia - In: Econometrics 4 (2016) 1, pp. 1-24
return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we … "good" and "bad", as well as into continuous and discontinuous risks. Using a long history of the S & P500 price index, we …
Persistent link: https://www.econbiz.de/10011755317
Cover Image
Volatility forecasting : downside risk, jumps and leverage effect
Audrino, Francesco; Hu, Yujia - In: Econometrics : open access journal 4 (2016) 1, pp. 1-24
return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we … "good" and "bad", as well as into continuous and discontinuous risks. Using a long history of the S & P500 price index, we …
Persistent link: https://www.econbiz.de/10011504739
Cover Image
Fragmentation, price formation and cross-impact in bitcoin markets
Albers, Jakob; Cucuringu, Mihai; Howison, Sam; … - In: Applied mathematical finance 28 (2021) 5, pp. 395-448
Persistent link: https://www.econbiz.de/10013411711
Cover Image
Periodicity in cryptocurrency volatility and liquidity
Hansen, Peter Reinhard; Kim, Chan; Kimbrough, Wade - In: Journal of financial econometrics 22 (2024) 1, pp. 224-251
Persistent link: https://www.econbiz.de/10014526315
Cover Image
Understanding jumps in high frequency digital asset markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, Wolfgang - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little …
Persistent link: https://www.econbiz.de/10012657696
Cover Image
Macroeconomic news and intraday seasonal volatility in the cryptocurrency markets
Ben Omrane, Walid; Houidi, Fatma; Savaser, Tanseli - In: Applied economics 56 (2024) 38, pp. 4594-4610
Persistent link: https://www.econbiz.de/10014560361
Cover Image
Forecasting Volatility with the Realized Range in the Presence of Noise and Non-Trading
van Dijk, Dick; Bannouh, Bannouh, K.; Martens, Martens, … - Erasmus Research Institute of Management (ERIM), … - 2012
We introduce a heuristic bias-adjustment for the transaction price-based realized range estimator of daily volatility …
Persistent link: https://www.econbiz.de/10010837698
Cover Image
Excess financial volatility explained by endogenous excitations revealed by EM calibrations of a generalized Hawkes point process
Wehrli, Alexander; Sornette, Didier - 2021
Hawkes point process model to price changes of major currency pairs and equity futures, we construct a decomposition of the … variance of high frequency price changes into an exogenous (and thus efficient) component and an endogenous (and thus …
Persistent link: https://www.econbiz.de/10012518955
Cover Image
A Smooth Transition ARCH Model for Asset Returns
Hagerud, Gustaf E. - Economics Institute for Research (SIR), … - 1997
In the classical ARCH model of Engle [1982] the conditional variance is a linear function of lagged squared residuals. In this paper I introduce nonlinearity, by adding a term that consists of a constant parameter multiplied by a transition function. Two different transition functions are...
Persistent link: https://www.econbiz.de/10005649476
Cover Image
Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes
Sheppard, Kevin; Liu, Lily; Patton, Andrew J. - Department of Economics, Oxford University - 2013
We study the accuracy of a wide variety of estimators of asset price variation constructed from high-frequency data (so …
Persistent link: https://www.econbiz.de/10011004204