An effective and easy-to-implement frequency filter is designed by convolving a Hamming window with the ideal rectangular filter response function. Three other filters, Hodrick-Prescott, Baxter-King, and Christiano-Fitzgerald, are critically reviewed. The behavior of the Hamming-windowed filter...

This paper shows how a high level matrix programming language may be used to perform Monte Carlo simulation, bootstrapping, estimation by maximum likelihood and GMM, and kernel regression in parallel on symmetric multiprocessor computers or clusters of workstations. The implementation of...

This paper proposes a method for estimating the probability density of a variable of interest in the presence of model ambiguity. In the first step, each candidate parametric model is estimated minimizing the Kullback-Leibler "distance" (KLD) from a reference nonparametric density estimate....

The availability of high frequency databases makes possible to understand financial market dynamics and test some of hypothesis brought up by the microstructure theory. In that way, many formulations have been suggested. One of the first proposals to model event based high frequency data has...

This article faces the problem of stock price forecasting based on an integrated approach in which the modeling of high frequency financial data (duration, volume and bid-ask spread) uses a contemporaneous ordered probit model – the price changes (measured in numbers of ticks) are the...

This paper investigates the dynamics of trade duration and the relationship between price volatility and trade durations for the Morgan Stanley Taiwan stock index futures traded on the Singapore Exchange (SGX). It is found that the conditional expected trade durations are significantly related...

The objective of this paper is to calculate, model, and forecast realized volatility using high-frequency stock-market index data. The approach differs from existing ones in several ways. First, it is shown that the decay of the serial dependence of high-frequency returns on the sampling...

While the conditional volatility of time series is always dependent of the model specification, the {\\em ex post} or realized volatility series is often constructed on a model-free basis. The common proxies of daily volatility in the literature are the squared daily asset returns and the sum of...