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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Semi-Markov model for market microstructure

Fodra, Pietro; Pham, Huyên - In: Applied mathematical finance 22 (2015) 3/4, pp. 261-265

Persistent link: https://www.econbiz.de/10011436207

High-frequency lead-lag effects and cross-asset linkages : a multi-asset lagged adjustment model

Buccheri, Giuseppe; Corsi, Fulvio; Peluso, Stefano - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 3, pp. 605-621

Persistent link: https://www.econbiz.de/10012588002

New evidence on market response to public announcements in the presence of microstructure noise

Bian, Siyu; Serra, Teresa; García, Philip; Irwin, Scott H. - In: European journal of operational research : EJOR 298 (2022) 2, pp. 785-800

Persistent link: https://www.econbiz.de/10013206899

High frequency traders and the price process

Aït-Sahalia, Yacine; Brunetti, Celso - In: Journal of econometrics 217 (2020) 1, pp. 20-45

Persistent link: https://www.econbiz.de/10012482736

The realized empirical distribution function of stochastic variance with application to goodness-of-fit testing

Christensen, Kim; Thyrsgaard, Martin; Veliyev, Bezirgen - In: Journal of econometrics 212 (2019) 2, pp. 556-583

Persistent link: https://www.econbiz.de/10012304092

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Microstructure noise and realized variance in the live cattle futures market

Couleau, Anabelle; Serra, Teresa; García, Philip - In: American journal of agricultural economics 101 (2019) 2, pp. 563-578

Persistent link: https://www.econbiz.de/10012114677

Bootstrapping pre-averaged realized volatility under market microstructure noise

Hounyo, Ulrich; Gonçalves, Sílvia; Meddahi, Nour - In: Econometric theory 33 (2017) 4, pp. 791-838

Persistent link: https://www.econbiz.de/10011810210

Informativeness of trade size in foreign exchange markets

Gradojevic, Nikola; Erdemlioglu, Deniz; Gençay, Ramazan - In: Economics letters 150 (2017), pp. 27-33

Persistent link: https://www.econbiz.de/10011762076

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