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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
new tests are wild bootstrap implementations of score-based tests for the order of integration of a fractionally … in the presence of heteroskedasticity, but that the corresponding tests based on the wild bootstrap principle do. A Monte … bootstrap vis-à-vis the corresponding asymptotic tests in both heteroskedastic and homoskedastic environments. …
Persistent link: https://www.econbiz.de/10010886799
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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
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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
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Risk, Jumps, and Diversification
Bollerslev, Tim; Law, Tzuo Hann; Tauchen, George - School of Economics and Management, University of Aarhus - 2007
We test for price discontinuities, or jumps, in a panel of high-frequency intraday returns for forty large-cap stocks and an equiweighted index from these same stocks. Jumps are naturally classified into two types: common and idiosyncratic. Common jumps affect all stocks, albeit to varying...
Persistent link: https://www.econbiz.de/10005787560
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Conservatism in Corporate Valuation
Bach, Christian - School of Economics and Management, University of Aarhus - 2011
of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …
Persistent link: https://www.econbiz.de/10009293656
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Bootstrapping realized volatility and realized beta under a local Gaussianity assumption
Hounyo, Ulrich - School of Economics and Management, University of Aarhus - 2013
The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns … contributions are as follows. First, we show that the local Gaussian bootstrap is firstorder consistent when used to estimate the … distributions of realized volatility and ealized betas. Second, we show that the local Gaussian bootstrap matches accurately the …
Persistent link: https://www.econbiz.de/10010851268
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Validity of Edgeworth expansions for realized volatility estimators
Hounyo, Ulrich; Veliyev, Bezirgen - School of Economics and Management, University of Aarhus - 2015
realized volatility may not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi (2009 …). Then, we propose a new optimal nonlattice distribution which ensures the second-order correctness of the bootstrap. Third …
Persistent link: https://www.econbiz.de/10011274511
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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
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Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
Osterrieder, Daniela - School of Economics and Management, University of Aarhus - 2013
We propose a model for the term structure of interest rates that is a generalization of the discrete-time, Gaussian, affine yield-curve model. Compared to standard affine models, our model allows for general linear dynamics in the vector of state variables. In an application to real yields of...
Persistent link: https://www.econbiz.de/10010851271
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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