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Simultaneity and Asymmetry of Returns and Volatilities in the Emerging Baltic State Stock Exchanges
Brännäs, Kurt; G De Gooijer, Jan; Lönnbark, Carl; … - Institutionen för Nationalekonomi, Umeå Universitet - 2007
The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in …
Persistent link: https://www.econbiz.de/10005198022
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STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...
Persistent link: https://www.econbiz.de/10005651956
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An Empirical Model for Durations in Stocks
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2005
This paper considers an extension of the univariate autoregressive conditional duration model to which durations from a second stock are added. The model is empirically used to study durations in two traded stocks, Ericsson B and AstraZeneca, on the Stockholm Stock Exchange. It is found that...
Persistent link: https://www.econbiz.de/10005652030
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Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information
Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2001
Bayesian statistical methods are naturally oriented towards pooling in a rigorous way information from separate sources … volatility or options prices. We develop a formal Bayesian framework where we can merge the backward looking information as … forecasting options prices out of sample (i.e. one-day ahead) our Bayesian estimators outperform standard forecasts that use …
Persistent link: https://www.econbiz.de/10005783847
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Bayesian Estimation of Risk-Premia in an APT Context
Darsinos, T.; Satchell, S.E. - Faculty of Economics, University of Cambridge - 2003
Bayesian methodology for estimating factor risk premia and hence equity risk premia for both traded and non-traded factors …
Persistent link: https://www.econbiz.de/10005650522