Showing 1 - 10 of 96
Persistent link: https://www.econbiz.de/10001718828
Persistent link: https://www.econbiz.de/10001788591
Persistent link: https://www.econbiz.de/10001596254
We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...
Persistent link: https://www.econbiz.de/10003947458
The use of GARCH models with stable Paretian innovations in financial modeling has been recently suggested in the literature. This class of processes is attractive because it allows for conditional skewness and leptokurtosis of financial returns without ruling out normality. This contribution...
Persistent link: https://www.econbiz.de/10009765347
Alternative strategies for predicting stock market volatility are examined. In out-of-sample forecasting experiments implied-volatility information, derived from contemporaneously observed option prices or history-based volatility predictors, such as GARCH models, are investigated, to determine...
Persistent link: https://www.econbiz.de/10009767118
Persistent link: https://www.econbiz.de/10003651587
prices in the four largest economies in the euro area: France, Germany, Italy, and Spain. We first calibrate a life …
Persistent link: https://www.econbiz.de/10012129430
Persistent link: https://www.econbiz.de/10002087589
Persistent link: https://www.econbiz.de/10001637889