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An Empirical Model of Daily Highs and Lows
Cheung, Yin-Wong - CESifo - 2006
We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...
Persistent link: https://www.econbiz.de/10005765844
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A High-Low Model of Daily Stock Price Ranges
Cheung, Yan-Leung; Cheung, Yin-Wong; Wan, Alan T.K. - CESifo - 2008
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The …
Persistent link: https://www.econbiz.de/10005196290
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Price Discovery and Trade Fragmentation in a Multi - Market Environment : Evidence from the MTS System
Caporale, Guglielmo Maria - 2013
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro - denominated government securities. Analyzing price data on daily transactions for 107 bonds over a period of twenty - seven months, we find a greater degree of price leadership...
Persistent link: https://www.econbiz.de/10013092631
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A High-Low Model of Daily Stock Price Ranges
Cheung, Stephen Yan-Leung - 2013
concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily … range data. The in-sample results attest the importance of incorporating high-low interactions in modeling the range … criteria, it is found that the VECM-based low and high forecasts offer some advantages over some alternative forecasts. The …
Persistent link: https://www.econbiz.de/10012753474
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An Empirical Model of Daily Highs and Lows
Cheung, Yin-Wong - 2013
We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...
Persistent link: https://www.econbiz.de/10012754350
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Price Discovery and Trade Fragmentation in a Multi-Market Environment: Evidence from the MTS System
Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2011
This paper proposes new metrics for the process of price discovery on the main electronic trading platform for euro-denominated government securities. Analysing price data on daily transactions for 107 bonds over a period of twenty-seven months, we find a greater degree of price leadership of...
Persistent link: https://www.econbiz.de/10009221548
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria - 2013
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper …
Persistent link: https://www.econbiz.de/10013094028
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Price Formation on the EuroMTS Platform
Caporale, Guglielmo Maria - 2013
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10013095113
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Price Formation on the EuroMTS Platform
Caporale, Guglielmo Maria; Girardi, Alessandro - CESifo - 2010
This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...
Persistent link: https://www.econbiz.de/10008583692
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Quoted Spreads and Trade Imbalance Dynamics in the European Treasury Bond Market
Caporale, Guglielmo Maria; Girardi, Alessandro; … - CESifo - 2010
Using high-frequency transaction data for the three largest European markets (France, Germany and Italy), this paper …
Persistent link: https://www.econbiz.de/10008833903