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A partially linear approach to modelling the dynamics of spot and futures prices

Gaul, Jürgen; Theissen, Erik - 2012 - This version: August 2012

This paper considers the dynamics of spot and futures prices in the presence of arbitrage. A partially linear error correction model is proposed where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. The model is estimated using data on the DAX index...

Persistent link: https://www.econbiz.de/10009750074

A partially linear approach to modelling the dynamics of spot and futures prices

Gaulke, Jürgen (contributor); Theissen, Erik (contributor) - 2008

In this paper we consider the dynamics of spot and futures prices in the presence of arbitrage. We propose a partially linear error correction model where the adjustment coefficient is allowed to depend non-linearly on the lagged price difference. We estimate our model using data on the DAX...

Persistent link: https://www.econbiz.de/10003750067

Price discovery in floor and screen trading systems

Theissen, Erik - 2001

We analyze price discovery in floor-based and electronic exchanges using data from the German stock market. We find that both markets contribute to price discovery. There is bidirectional Granger causality, and prices from both markets adjust to deviations from the long-run equilibrium. We use...

Persistent link: https://www.econbiz.de/10011540052

Liquidity in the German stock market

Johann, Thomas; Scharnowski, Stefan; Theissen, Erik; … - 2019

has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …

Persistent link: https://www.econbiz.de/10012020325

The distribution of stock return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000

Persistent link: https://www.econbiz.de/10001476423

An empirical investigation of continuous-time equity return models

Andersen, Torben; Benzoni, Luca; Lund, Jesper - 2001

Persistent link: https://www.econbiz.de/10001615265

Some like it smooth, and some like it rough : untanging continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003

Persistent link: https://www.econbiz.de/10001846702

Some like it smooth, and some like it rough : untangling continuous and jump components in measuring, modeling, and forecasting asset return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - 2003 - This version: September 2003

A rapidly growing literature has documented important improvements in volatility measurement and forecasting … provides a practical framework for non-parametrically measuring the jump component in realized volatility measurements … an easy-to-implement reduced form model for realized volatility results in highly significant jump coefficient estimates …

Persistent link: https://www.econbiz.de/10009764770

Volatility, information feedback and market microstructure noise : a tale of two regimes

Andersen, Torben; Cebiroglu, Gökhan; Hautsch, Nikolaus - 2017 - This version: February 6, 2017

We extend the classical "martingale-plus-noise" model for high-frequency prices by an error correction mechanism originating from prevailing mispricing. The speed of price reversal is a natural measure for informational efficiency. The strength of the price reversal relative to the...

Persistent link: https://www.econbiz.de/10011613905

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456