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Extreme value models in a conditional duration intensity framework
Herrera, Rodrigo; Schipp, Bernhard - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
capability to capture the short-term behaviour of extremes without involving an arbitrary stochastic volatility model or a …
Persistent link: https://www.econbiz.de/10010607137
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State Price Densities implied from weather derivatives
Härdle, Wolfgang Karl; López-Cabrera, Brenda; Teng, … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
A State Price Density (SPD) is the density function of a risk neutral equivalent martingale measure for option pricing, and is indispensible for exotic option pricing and portfolio risk management. Many approaches have been proposed in the last two decades to calibrate a SPD using financial...
Persistent link: https://www.econbiz.de/10010658762
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Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
Ng, Wing Lon - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
This paper applies a non- and a semiparametric copula-based approach to analyze the first-order autocorrelation of returns in high frequency financial time series. Using the EUREX D3047 tick data from the German stock index, it can be shown that the temporal dependence structure of price...
Persistent link: https://www.econbiz.de/10005489950
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Capturing the Zero: A New Class of Zero-Augmented Distributions and Multiplicative Error Processes
Hautsch, Nikolaus; Malec, Peter; Schienle, Melanie - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
We propose a novel approach to model serially dependent positive-valued variables which realize a non-trivial proportion of zero outcomes. This is a typical phenomenon in financial time series observed on high frequencies, such as cumulated trading volumes or the time between potentially...
Persistent link: https://www.econbiz.de/10008727350
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Distillation of News Flow into Analysis of Stock Reactions
Zhang, Junni L.; Härdle, Wolfgang K.; Chen, Cathy Y.; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2015
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
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Two-sided Certification: The market for Rating Agencies
Fasten, Erik R.; Hofmann, Dirk - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010
Certifiers contribute to the sound functioning of markets by reducing asymmetric information. They, however, have been heavily criticized during the 2008-09 financial crisis. This paper investigates on which side of the market a monopolistic profit-maximizing certifier offers his service. If the...
Persistent link: https://www.econbiz.de/10008513140
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Quantifying High-Frequency Market Reactions to Real-Time News Sentiment Announcements
Groß-Klußmann, Axel; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
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
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ECB monetary policy surprises: identification through cojumps in interest rates
winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2013
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
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Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence
Bibinger, Markus; Reiss, Markus; Hautsch, Nikolaus; … - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2014
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
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Copula-Based Dynamic Conditional Correlation Multiplicative Error Processes
Bodnar, Taras; Hautsch, Nikolaus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
-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