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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243
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VPIN and the Flash Crash
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011
Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...
Persistent link: https://www.econbiz.de/10009644870
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On the Effects of Private Information on Volatility
Opschoor, Anne; Wel, Michel van der; Dijk, Dick van; … - School of Economics and Management, University of Aarhus - 2012
We study the impact of private information on volatility. We develop a comprehensive framework to investigate this link … while controlling for the effects of both public information (such as macroeconomic news releases) and private information … on prices and the effect of public information on volatility. Using high-frequency 30-year U.S. Treasury bond futures …
Persistent link: https://www.econbiz.de/10009652371
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Bootstrap Score Tests for Fractional Integration in Heteroskedastic ARFIMA Models, with an Application to Price Dynamics in Commodity Spot and Futures Markets
Cavaliere, Giuseppe; Nielsen, Morten Ørregaard; … - School of Economics and Management, University of Aarhus - 2014
Empirical evidence from time series methods which assume the usual I(0)/I(1) paradigm suggests that the efficient market hypothesis, stating that spot and futures prices of a commodity should cointegrate with a unit slope on futures prices, does not hold. However, these statistical methods are...
Persistent link: https://www.econbiz.de/10010886799
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Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
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Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
Osterrieder, Daniela - School of Economics and Management, University of Aarhus - 2013
, affine yield-curve model. Compared to standard affine models, our model allows for general linear dynamics in the vector of …, yet mean-reverting, long-memory behavior of the order d ˜ 0.87. The long-run dynamics of the state vector are driven by a …
Persistent link: https://www.econbiz.de/10010851271
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The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
Osterrieder, Daniela; Schotman, Peter C. - School of Economics and Management, University of Aarhus - 2012
We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are...
Persistent link: https://www.econbiz.de/10010851286
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Integration of European Bond Markets
Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2012
I investigate the time variation in the integration of EU government bond markets. The integration is measured by the explanatory power of European factor portfolios for the individual bond markets for each year. The integration of the government bond markets is stronger for EMU than non-EMU...
Persistent link: https://www.econbiz.de/10010851292
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Effects of Macroeconomic Uncertainty upon the Stock and Bond Markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2015
In this paper we show that the long-run stock and bond volatility and the long-run stock-bond correlation depend on macroeconomic uncertainty. We use the mixed data sampling (MIDAS) econometric approach. The findings are in accordance with the flight-to-quality phenomenon when macroeconomic...
Persistent link: https://www.econbiz.de/10011207886
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End-of-the-year economic growth and time-varying expected returns
Møller, Stig V.; Rangvid, Jesper - School of Economics and Management, University of Aarhus - 2012
-of-the-year economic growth rates contain considerably more information about expected returns than standard variables used to predict …
Persistent link: https://www.econbiz.de/10010851234