Showing 1 - 10 of 62
Persistent link: https://www.econbiz.de/10003350800
Persistent link: https://www.econbiz.de/10003351512
Persistent link: https://www.econbiz.de/10003351560
Persistent link: https://www.econbiz.de/10003314597
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10003887437
Persistent link: https://www.econbiz.de/10003448354
Persistent link: https://www.econbiz.de/10003448377
Persistent link: https://www.econbiz.de/10003448470
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. Daily covariances are estimated based on HF data of the S&P 500 universe employing a blocked realized kernel estimator. We propose forecasting covariance matrices using a...
Persistent link: https://www.econbiz.de/10009308302
No. And not only for the reason you think. In a world with multiple inefficiencies the single policy tool the central bank has control over will not undo all inefficiencies; this is well understood. We argue that the world is better characterized by multiple inefficiencies and multiple policy...
Persistent link: https://www.econbiz.de/10011307949