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Periodic Seasonal Reg-ARFIMA-GARCH Models for Daily Electricity Spot Prices
Koopman, Siem Jan; Ooms, Marius; Carnero, M. Angeles - Tinbergen Instituut - 2005
This discussion paper resulted in an article in the <I>Journal of the American Statistical Association</I> (2007). Vol. 102, issue 477, pages 16-27.<p> Novel periodic extensions of dynamic long memory regression models with autoregressive conditional heteroskedastic errors are considered for the analysis...</p></i>
Persistent link: https://www.econbiz.de/10011256266
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - Tinbergen Instituut - 2013
liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10011256871
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Ranking Systemically Important Financial Institutions
Dungey, Mardi; Luciani, Matteo; Veredas, David - Tinbergen Instituut - 2012
volatility shocks. The metric for the connections of the nodes is the correlation between these shocks. Daily dynamic centrality …
Persistent link: https://www.econbiz.de/10011255476
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Cross- and Auto-Correlation Effects arising from Averaging: The Case of US Interest Rates and Equity Duration
Hallerbach, Winfried G. - Tinbergen Instituut - 2000
Most of the available monthly interest data series consist of monthlyaverages of daily observations. It is well-known that this averaging introduces spurious autocorrelation effectsin the first differences of the series. It isexactly this differenced series we are interested in when...
Persistent link: https://www.econbiz.de/10011255499
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High-Frequency Technical Trading: The Importance of Speed
Scholtus, Martin; Dijk, Dick van - Tinbergen Instituut - 2012
of 200 milliseconds is enough to lower performance significantly. On low volatility days this is already the case for …
Persistent link: https://www.econbiz.de/10011255568
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Spot Variance Path Estimation and its Application to High Frequency Jump Testing
Bos, Charles S.; Janus, Pawel; Koopman, Siem Jan - Tinbergen Instituut - 2009
This discussion paper resulted in an article in the <I>Journal of Financial Econometrics</I> (2012). Vol. 10, pages 354-389.<p> This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and...</p></i>
Persistent link: https://www.econbiz.de/10011255584
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Investor Sentiment and Employment
Montone, Maurizio; Zwinkels, Remco C.J. - Tinbergen Instituut - 2015
We find that investor sentiment should affect a firm's employment policy in a world with moral hazard and noise traders. Consistent with the model's predictions, we show that higher sentiment among US investors leads to: (1) higher employment growth worldwide; (2) lower labor productivity, as the...
Persistent link: https://www.econbiz.de/10011255878
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Aggregate Stock Market Illiquidity and Bond Risk Premia
Bouwman, Kees E.; Sojli, Elvira; Tham, Wing Wah - Tinbergen Instituut - 2012
We assess the effect of aggregate stock market illiquidity on U.S. Treasury bond risk premia. We find that the stock market illiquidity variable adds to the well established Cochrane-Piazzesi and Ludvigson-Ng factors. It explains 10%, 9%, 7%, and 7% of the one-year-ahead variation in the excess...
Persistent link: https://www.econbiz.de/10011256063
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The Determinants of CDS Bid-ask Spreads
Wojtowicz, Marcin - Tinbergen Instituut - 2014
-implied volatility, dealer funding costs and competition between dealers. Several of these variables are significant, but their …
Persistent link: https://www.econbiz.de/10011256084
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Regulating the Financial Cycle: An Integrated Approach with a Leverage Ratio
Schoenmaker, Dirk; Wierts, Peter - Tinbergen Instituut - 2015
We propose a regulatory approach for restricting debt financing as an amplification mechanism across the financial system. A small stylised model illustrates the trade-off between static and time varying limits on leverage in dampening the financial cycle. The policy section proposes its...
Persistent link: https://www.econbiz.de/10011256230