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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 2011
one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …
Persistent link: https://www.econbiz.de/10010820706
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Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models
Corradi, Valentina; Swanson, Norman R. - HAL - 2011
one-factor and stochastic volatility models. We then construct tests that are in the spirit of Diebold and Mariano (1995 …
Persistent link: https://www.econbiz.de/10010820811
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...
Persistent link: https://www.econbiz.de/10010570532
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Pre-averaging estimators of the ex-post covariance matrix in noisy diffusion models with non-synchronous data
Christensen, Kim; Kinnebrock, Silja; Podolskij, Mark - HAL - 2010
We show how pre-averaging can be applied to the problem of measuring the ex-post covariance of financial asset returns under microstructure noise and non-synchronous trading. A pre-averaged realised covariance is proposed, and we present an asymptotic theory for this new estimator, which can be...
Persistent link: https://www.econbiz.de/10010898713
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Order book dynamics in liquid markets: limit theorems and diffusion approximations
Cont, Rama; Larrard, Adrien De - HAL - 2011
We propose a model for the dynamics of a limit order book in a liquid market where buy and sell orders are submitted at high frequency. We derive a functional central limit theorem for the joint dynamics of the bid and ask queues and show that, when the frequency of order arrivals is large, the...
Persistent link: https://www.econbiz.de/10009650053
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Price Dynamics in a Markovian Limit Order Market
Cont, Rama; Larrard, Adrien De - HAL - 2010
volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These …
Persistent link: https://www.econbiz.de/10008794238
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Price Dynamics in a Markovian Limit Order Market
Cont, Rama; Larrard, Adrien De - HAL - 2013
volatility of price changes in terms of parameters describing the arrival rates of buy and sell orders and cancelations. These …
Persistent link: https://www.econbiz.de/10010631316
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High Frequency Lead/lag Relationships - Empirical facts
Huth, Nicolas; Abergel, Frédéric - HAL - 2011
small time lag. We provide indicators to measure this phenomenon using tick-by-tick data. Strongly asymmetric cross-correlation … (short intertrade duration, narrow bid/ask spread, small volatility, high turnover) tend to lead smaller stocks. However, the …
Persistent link: https://www.econbiz.de/10010618170
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Fire Sales Forensics: Measuring Endogenous Risk
Cont, Rama; Wagalath, Lakshithe - HAL - 2012
We propose a tractable framework for quantifying the impact of fire sales on the volatility and correlations of asset … returns and provide a quantitative explanation for spikes in volatility and correlations observed during liquidation of large …
Persistent link: https://www.econbiz.de/10010548433
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Realised quantile-based estimation of the integrated variance
Christensen, Kim; Oomen, Roel; Podolskij, Mark - HAL - 2010
. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …
Persistent link: https://www.econbiz.de/10010570523