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...

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for the motion in time of the expected conditional second power moment. This interpretation is used to show how these models may be generalized, if we use alternative measures of...

Information-theoretic approaches still play a minor role in financial market analysis. Nonetheless, there have been two very similar approaches evolving during the last years, one in so-called econophysics and the other in econometrics. Both generalize the notion of GARCH processes in an...

In this note we present a simple method to include the no-arbitrage condition into the derivation of conditional densities using the principle of maximum entropy. For the case of identically and independently distributed returns, we easily derive that the whole process estimated that way is...

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

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 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...

Though information-theoretic approaches still play only a minor role in nancial marketanalysis, there have been two recent approaches developing independently one in econo-physics and the other in econometrics. Both approaches generalize the notion of eitherARCH or GARCH models.The econometric...

Die Fähigkeit zur Veränderung (Wandlungsorientierung) zählt zu den Erfolgsfaktoren einesUnternehmens. Doch überall dort, wo Menschen arbeiten, ist es mit der reinen Umsetzung vonVeränderungsvorhaben nicht getan: Der Mensch steht dem Wandel, sobald er ihn persönlichbetrifft, meist skeptisch...

The scaling function from multiresolution analysis can be used to constuct asmoothing tool in the context of time series analysis. We give a -based timeseries smoothing function for which we show the properties of a quasilinearmoving average. Furthermore, we discuss its features and especially...