Showing 1 - 10 of 83
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …
Persistent link: https://www.econbiz.de/10005677925
different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will in uence volatility as well as volume. This influuence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …
Persistent link: https://www.econbiz.de/10011186258
direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …
Persistent link: https://www.econbiz.de/10008458281
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...
Persistent link: https://www.econbiz.de/10011277280
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10011277282
-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the …
Persistent link: https://www.econbiz.de/10011277292
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô …, several generalizations of the model and an algorithm for the implementation warrant the utility of the estimation method in …
Persistent link: https://www.econbiz.de/10009644466
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10009644467
analyzed time series, which leads to a low accu- racy of estimation in case of a changing stochastic structure. A time varying …
Persistent link: https://www.econbiz.de/10009275680
The paper focuses on the problem of pricing and hedging a European contingent claim for an incomplete market model, in which evolution of price processes for a saving account and stocks depends on an observable Markov chain. The pricing function is evaluated using the martingale approach. The...
Persistent link: https://www.econbiz.de/10010607136