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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013

The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...

Persistent link: https://www.econbiz.de/10010851243

VPIN and the Flash Crash

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...

Persistent link: https://www.econbiz.de/10009644870

On the Effects of Private Information on Volatility

Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - School of Economics and Management, University of Aarhus - 2012

We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link … while controlling for the effects of both public information (such as macroeconomic news releases) and private information … on prices and the effect of public information on volatility. Using high-frequency 30-year U.S. Treasury bond futures …

Persistent link: https://www.econbiz.de/10009652371

Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets

Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014

Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...

Persistent link: https://www.econbiz.de/10010886799

Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

Persistent link: https://www.econbiz.de/10010851206

Interest Rates with Long Memory: A Generalized Affine Term-Structure Model

Osterrieder, Daniela - School of Economics and Management, University of Aarhus - 2013

, affine yield-curve model. Compared to standard affine models, our model allows for general linear dynamics in the vector of …, yet mean-reverting, long-memory behavior of the order d ˜ 0.87. The long-run dynamics of the state vector are driven by a …

Persistent link: https://www.econbiz.de/10010851271

The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums

Osterrieder, Daniela; Schotman, Peter C. - School of Economics and Management, University of Aarhus - 2012

We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are...

Persistent link: https://www.econbiz.de/10010851286

Integration of European Bond Markets

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012

I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...

Persistent link: https://www.econbiz.de/10010851292

Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2015

In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...

Persistent link: https://www.econbiz.de/10011207886

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

Using a CCAPM based risk adjustment model, consistent with general asset pricing theory, I perform corporate valuations of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the sense that it discounts forecasted residual income for...

Persistent link: https://www.econbiz.de/10009293656

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