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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010333208
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps: Theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit … interval length. Moreover, we investigate the dependence of pre-averaging based inference on the sampling scheme, the sampling … frequency, microstructure noise properties as well as the occurrence of jumps. As a result of a detailed empirical study we …
Persistent link: https://www.econbiz.de/10010281504
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Inference for multi-dimensional high-frequency data: Equivalence of methods, central limit theorems, and an application to conditional independence testing
Bibinger, Markus; Mykland, Per A. - 2013
inference for a broad class of multivariate models and linear functions of the recorded components. This paves the way to tests …
Persistent link: https://www.econbiz.de/10010318742
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Estimating the quadratic covariation matrix from noisy observations: Local method of moments and efficiency
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2013
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. Our approach relies on an asymptotically equivalent continuous-time...
Persistent link: https://www.econbiz.de/10010318777
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...
Persistent link: https://www.econbiz.de/10010281562
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Asymptotics of asynchronicity
Bibinger, Markus - 2011
In this article we focus on estimating the quadratic covariation of continuous semimartingales from discrete observations that take place at asynchronous observation times. The Hayashi-Yoshida estimator serves as synchronized realized covolatility for that we give our own distinct illustration...
Persistent link: https://www.econbiz.de/10010281581
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An estimator for the quadratic covariation of asynchronously observed Itô processes with noise: Asymptotic distribution theory
Bibinger, Markus - 2011
The article is devoted to the nonparametric estimation of the quadratic covariation of non-synchronously observed Itô processes in an additive microstructure noise model. In a high-frequency setting, we aim at establishing an asymptotic distribution theory for a generalized multiscale estimator...
Persistent link: https://www.econbiz.de/10010281599
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Tail event driven ASset allocation: Evidence from equity and mutual funds' markets
Härdle, Wolfgang Karl; Lee, David Kuo Chuen; Nasekin, … - 2015
Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...
Persistent link: https://www.econbiz.de/10011380690
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ECB monetary policy surprises: Identification through cojumps in interest rates
Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - 2013
This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...
Persistent link: https://www.econbiz.de/10010331122
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Nonparametric estimates for conditional quantiles of time series
Franke, Jürgen; Mwita, Peter; Wang, Weining - 2014
We consider the problem of estimating the conditional quantile of a time series fYtg at time t given covariates Xt, where Xt can ei- ther exogenous variables or lagged variables of Yt . The conditional quantile is estimated by inverting a kernel estimate of the conditional distribution function,...
Persistent link: https://www.econbiz.de/10010333207