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The Greenspan Effect on Equity Markets : An Intraday Examination of U.S. Monetary Policy Announcements
Bentzen, Eric - 2005
In this paper, we provide an intraday analysis of the impact of monetary policy on the equity markets. Specifically, we study changes in prices and changes in volatility for the Samp;P 500 associated with Federal Open Market Committee announcements as well as real-time changes in market...
Persistent link: https://www.econbiz.de/10012736000
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Designing realised kernels to measure the ex-post variation of equity prices in the presence of noise
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2006
Persistent link: https://www.econbiz.de/10003334801
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2008
Persistent link: https://www.econbiz.de/10003807445
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2008
Persistent link: https://www.econbiz.de/10003818473
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Multivariate realised kernels : consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading
Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - 2009
Persistent link: https://www.econbiz.de/10003854421
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Estimating the persistence and the autocorrelation function of a time series that this measured with error
Hansen, Peter Reinhard; Lunde, Asger - 2010
Persistent link: https://www.econbiz.de/10003934448
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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2010
Persistent link: https://www.econbiz.de/10008746092
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The model confidence set
Hansen, Peter Reinhard; Lunde, Asger; Nason, James Michael - 2010
Persistent link: https://www.econbiz.de/10008780026
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A Markov chain estimator of multivariate volatility from high frequency data
Hansen, Peter Reinhard; Horel, Guillaume; Lunde, Asger; … - 2015
Persistent link: https://www.econbiz.de/10010514600
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Realized beta GARCH : a multivariate GARCH model with realized measures of volatility and covolatility
Hansen, Peter Reinhard; Lunde, Asger; Voev, Valeri - 2012
Persistent link: https://www.econbiz.de/10009682612