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Spectral estimation of covolatility from noisy observations using local weights

Bibinger, Markus; Reiß, Markus - 2011

noise model with correlation and volatility processes being constant over small intervals. The asymptotic equivalence of the …

Persistent link: https://www.econbiz.de/10010281562

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading …

Persistent link: https://www.econbiz.de/10010263738

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

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

Multivariate volatility modeling of electricity futures

Bauwens, Luc; Hafner, Christian M.; Pierret, Diane - 2011

We model the dynamic volatility and correlation structure of electricity futures of the European Energy Exchange index …. We use a new multiplicative dynamic conditional correlation (mDCC) model to separate long-run from short-run components …-date effects in short-term conditional variances. We find different correlation dynamics for long and short-term contracts and the …

Persistent link: https://www.econbiz.de/10010330971

Structural constant conditional correlation

Weber, Enzo - 2008

constant conditional correlation (SCCC). In this, common driving forces can be modelled in addition to simultaneous …

Persistent link: https://www.econbiz.de/10010263718

Structural dynamic conditional correlation

Weber, Enzo - 2008

structural constant conditional correlation (SCCC) model. Besides determining linear simultaneous in uences between several … transmission e ects. In this context, the present paper extends the analysis to structural dynamic conditional correlation (SDCC …

Persistent link: https://www.econbiz.de/10010263754

Common influences, spillover and integration in Chinese stock markets

Weber, Enzo; Zhang, Yanqun - 2008

The Chinese stock market features an interesting history of divided market segments: domestic (A), foreigners' (B) and overseas (H). This puts forth questions of market integration as well as cross-divisional information transmission. We address these issues in a structural DCC framework, an...

Persistent link: https://www.econbiz.de/10010263757

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

We find the asymptotic distribution of the multi-dimensional multi-scale and kernel estimators for high-frequency financial data with microstructure. Sampling times are allowed to be asynchronous. The central limit theorem is shown to have a feasible version. In the process, we show that the...

Persistent link: https://www.econbiz.de/10010318742

Copula-based dynamic conditional correlation multiplicative error processes

Bodnar, Taras; Hautsch, Nikolaus - 2012

-frequency volatility, cumulative trading volumes, trade counts and market depth of various stocks traded at the NYSE, we show that the …

Persistent link: https://www.econbiz.de/10010318750