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Does the open limit order book matter in explaining long run volatility ?

PASCUAL, Roberto; VEREDAS, David - Center for Operations Research and Econometrics (CORE), … - 2006

volatility. We separate liquidity-driven (transitory) volatility from information-driven (long run) volatility using a dynamic … fluctuations in long run volatility even after controlling for the incoming order flow. The book is less informative for large …

Persistent link: https://www.econbiz.de/10005008656

Commonalities in the order book

BELTRAN, Helena; GIOT, Pierre; GRAMMIG, Joachim - Center for Operations Research and Econometrics (CORE), … - 2005

Recent contributions to microstructure theory hint at commonalities in the price-depth pairs which constitute the open limit order book. In this paper we provide empirical evidence that indeed a small number of latent factors, two for each side of the book, capture most of the variation in the...

Persistent link: https://www.econbiz.de/10005008367

Trading activity and liquidity supply in a pure limit order book market

GRAMMIG, Joachim; HEINEN, Andréas; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2004

price volatility affect future trading activity and market resiliency, and discuss the results in the light of predictions …

Persistent link: https://www.econbiz.de/10005065300

Multivariate modelling of time series count data: an autoregressive conditional Poisson model

HEINEN, Andreas; RENGIFO, Erick - Center for Operations Research and Econometrics (CORE), … - 2003

This paper introduces a new multivariate model for time series count data. The Multivariate Autoregressive Conditional Poisson model (MACP) makes it possible to deal with issues of discreteness, overdispersion (variance greater than the mean) and both auto- and cross-correlation. We model counts...

Persistent link: https://www.econbiz.de/10005065398

The logarithmic ACD model: an application to market microstructure and NASDAQ

BAUWENS, LUC; GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 1997

This paper introduces the logarithmic autoregressive conditional duration model (Log-ACD model). The logarithmic version allows for more flexibility than the ACD model of Engle and Russel (1995), when additional variables are included in the model. We apply the Log-ACD model to bid/ask prices...

Persistent link: https://www.econbiz.de/10005042931

The response of individual FX dealers'quoting activity to macroeconomic news announcements

BEN OMRANE, Walid; HEINEN, Andréas - Center for Operations Research and Econometrics (CORE), … - 2003

This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data,...

Persistent link: https://www.econbiz.de/10005043461

The information content of implied volatility in agricultural commodity markets

GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2002

In this paper we compare the incremental information content of lagged implied volatility to GARCH models of … conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the … relevance of the additional information provided by the implied volatility in a risk management framework. It is first shown …

Persistent link: https://www.econbiz.de/10005043100

The Asian financial crisis : the start of a regime switch in volatility

GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2003

Using a Markov switching model applied to the VIX and VDAX implied volatility indexes, we find that the volatility of … years. We also show that there has been a structural change in the stock index volatility vs returns relationship. …

Persistent link: https://www.econbiz.de/10005043235

The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options

ROMBOUTS, Jeroen V. K.; STENTOFT, Lars; VIOLANTE, Francesco - Center for Operations Research and Econometrics (CORE), … - 2012

We assess the predictive accuracy of a large number of multivariate volatility models in terms of pricing options on …

Persistent link: https://www.econbiz.de/10010610494

Multivariate option pricing with time varying volatility and correlations

ROMBOUTS, Jeroen J. K; STENTOFT, Lars - Center for Operations Research and Econometrics (CORE), … - 2010

models with time varying volatility. In this paper we consider models of this class and examine their potential when it comes …

Persistent link: https://www.econbiz.de/10008550198