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...

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...

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...

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...

Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a continuous Markov diffusion process to be affine...