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Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31

noise is considered. A general stochastic volatility framework with jumps for the underlying asset dynamics is defined … parameter and average jumps size reveals that the characteristics of the dataset are crucial to determine which is the proper …

Persistent link: https://www.econbiz.de/10011506497

Regime switching vine copula models for global equity and volatility indices

Fink, Holger; Klimova, Yulia; Czado, Claudia; Stöber, Jakob - In: Econometrics : open access journal 5 (2017) 1, pp. 1-38

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...

Persistent link: https://www.econbiz.de/10011653689

Copula-based factor models for multivariate asset returns

Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24

Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...

Persistent link: https://www.econbiz.de/10011654435

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

estimators and use simulations to show that they behave adequately in the presence of jumps and heteroskedastic and heavy …

Persistent link: https://www.econbiz.de/10011411344

Reducing the bias of the smoothed log periodogram regression for financial high-frequency data

Reschenhofer, Erhard; Mangat, Manveer Kaur - In: Econometrics : open access journal 8 (2020) 4/40, pp. 1-16

For typical sample sizes occurring in economic and financial applications, the squared bias of estimators for the memory parameter is small relative to the variance. Smoothing is therefore a suitable way to improve the performance in terms of the mean squared error. However, in an analysis of...

Persistent link: https://www.econbiz.de/10012312096

Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component of volatility in finance for portfolio allocation,...

Persistent link: https://www.econbiz.de/10011568279

Goodness-of-fit tests for copulas of multivariate time series

Rémillard, Bruno - In: Econometrics : open access journal 5 (2017) 1, pp. 1-23

In this paper, we study the asymptotic behavior of the sequential empirical process and the sequential empirical copula process, both constructed from residuals of multivariate stochastic volatility models. Applications for the detection of structural changes and specification tests of the...

Persistent link: https://www.econbiz.de/10011654178

Integration and disintegration of EMU government bond markets

Leschinski, Christian; Voges, Michelle; Sibbertsen, Philipp - In: Econometrics : open access journal 9 (2021) 1, pp. 1-17

It is commonly found that the markets for long-term government bonds of Economic and Monetary Union (EMU) countries were integrated prior to the EMU debt crisis. Contrasting this, we show, based on the interrelation between market integration and fractional cointegration, that there were periods...

Persistent link: https://www.econbiz.de/10012503993

Spurious seasonality detection : a non-parametric test proposal

Bariviera, Aurelio Fernández; Plastino, Angelo; Judge, … - In: Econometrics : open access journal 6 (2018) 1, pp. 1-15

This paper offers a general and comprehensive definition of the day-of-the-week effect. Using symbolic dynamics, we develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day-of-the-week” effect is partly an artifact of the...

Persistent link: https://www.econbiz.de/10011822333

Indirect inference : which moments to match?

Frazier, David T.; Renault, Eric - In: Econometrics : open access journal 7 (2019) 1/14, pp. 1-17

The standard approach to indirect inference estimation considers that the auxiliary parameters, which carry the … matching” and “parameter matching” versions of indirect inference in this context and devise efficient estimation strategies in … efficient Generalized Method of Moments (GMM)-based estimator for the auxiliary parameters, the resulting indirect inference …

Persistent link: https://www.econbiz.de/10012025566

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