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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence

Hautsch, Nikolaus; Podolskij, Mark - Center for Financial Studies - 2010

of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of preaveraging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …

Persistent link: https://www.econbiz.de/10010958809

Estimating the spot covariation of asset prices: Statistical theory and empirical evidence

Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - Center for Financial Studies - 2014

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...

Persistent link: https://www.econbiz.de/10010958633

The merit of high-frequency data in portfolio allocation

Hautsch, Nikolaus; Kyj, Lada M.; Malec, Peter - Center for Financial Studies - 2011

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/10010958793

Consumption-based asset pricing with rare disaster risk

Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014

The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...

Persistent link: https://www.econbiz.de/10010986365

Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models

Grammig, Joachim; Schaub, Eva-Maria - Center for Financial Studies - 2014

The long-run consumption risk (LRR) model is a promising approach to resolve prominent asset pricing puzzles. The simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, but caveats concern model solubility and weak identification. We propose a twostep...

Persistent link: https://www.econbiz.de/10010958629

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - Center for Financial Studies - 2013

We introduce a copula-based dynamic model for multivariate processes of (non-negative) high-frequency trading variables revealing time-varying conditional variances and correlations. Modeling the variables' conditional mean processes using a multiplicative error model we map the resulting...

Persistent link: https://www.econbiz.de/10010958506

The dynamics of spillover effects during the European sovereign debt turmoil

Alter, Adrian; Beyer, Andreas - Center for Financial Studies - 2012

In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area. Spillovers are estimated recursively from a vector...

Persistent link: https://www.econbiz.de/10010958562

Does patience pay? Empirical testing of the option to delay accepting a tender offer in the US banking sector

Campbell, Rachel A.; Kräussl, Roman - Center for Financial Studies - 2006

We examine the empirical predictions of a real option-pricing model using a large sample of data on mergers and acquisitions in the U.S. banking sector. We provide estimates for the option value that the target bank has in waiting for a higher bid instead of accepting an initial tender offer. We...

Persistent link: https://www.econbiz.de/10010986471

The Nobel Memorial Prize for Robert F. Engle

Diebold, Francis X. - Center for Financial Studies - 2004

Engle’s footsteps range widely. His major contributions include early work on band-spectral regression, development and unification of the theory of model specification tests (particularly Lagrange multiplier tests), clarification of the meaning of econometric exogeneity and its relationship...

Persistent link: https://www.econbiz.de/10010958627

Volatility forecasting

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - Center for Financial Studies - 2005

Volatility has been one of the most active and successful areas of research in time series econometrics and economic forecasting in recent decades. This chapter provides a selective survey of the most important theoretical developments and empirical insights to emerge from this burgeoning...

Persistent link: https://www.econbiz.de/10010958660