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Liquidity-adjusted Intraday Value at Risk modeling and Risk Management: an Application to Data from Deutsche Börse
Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou - Centre Interuniversitaire sur le Risque, les Politiques … - 2014
to provide an estimation of VaR for the actual return at a point in time. In particular, there will be considerable time …
Persistent link: https://www.econbiz.de/10010752077
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Investor Rationality : An Analysis of Ncreif Commercial Property Data
Hendershott, Patric H. - 2006
National Council of Real Estate Fiduciaries multiple listing service level cash flows and panels of capitalization rates for industrial, office and retail properties over the last two decades are examined in this study. Real NOI 5-year future growth is shown to be negatively related to...
Persistent link: https://www.econbiz.de/10012778902
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Intraday value-at-risk.
GIOT, Pierre - Center for Operations Research and Econometrics (CORE), … - 2000
trading. As expected, the volatility features an important intraday seasonality, which must be removed prior to using theVaR … models. The estimation and assessment of the VaR techniques indicate that the data displays a high kurtosis (fat tails), and …
Persistent link: https://www.econbiz.de/10005042801
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On the intraday periodicity duration adjustment of high-frequency data
Wu, Zhengxiao - In: Journal of Empirical Finance 19 (2012) 2, pp. 282-291
In the last decade, intensive studies on modeling high frequency financial data at the transaction level have been conducted. In the analysis of high-frequency duration data, it is often the first step to remove the intraday periodicity. Currently the most popular adjustment procedure is the...
Persistent link: https://www.econbiz.de/10010572329
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Intraday Value-at-Risk.
Giot, P. - Center for Operations Research and Econometrics (CORE), … - 2000
In this paper, we apply a collection of parametric (Normal, Normal GARCH, Student GARCH, RiskMetrics and high-frequency duration models) and non-parametric (empirical quantile, extreme distributions models) Value-at-Risk (VaR) techniques to intraday data for three stocks traded on the New York...
Persistent link: https://www.econbiz.de/10005478955
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Discretized Time and Conditional Duration Modelling for Stock Transaction Data
Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003
The paper considers conditional duration models in which durations are in continuous time but measured in grouped or discretized form. This feature of recorded durations in combination with a frequently traded stock is expected to negatively influence the performance of conventional estimators....
Persistent link: https://www.econbiz.de/10005651936
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STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION
Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006
This thesis comprises four papers concerning trade durations and limit order book information. Paper [1], [2] and [4] study trader durations, e.g., the time between stock transactions in intra-day data. Paper [3] focus on the information content in the limit order book concerning future price...
Persistent link: https://www.econbiz.de/10005651956
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Central bank liquidity and market liquidity: the role of collateral provision on the French government debt securities market
Idier, Julien; Avouyi-Dovi, Sanvi - Université Paris-Dauphine (Paris IX) - 2010
We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...
Persistent link: https://www.econbiz.de/10010861364
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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH … framework for the joint modeling of returns and realized measures of volatility. An influential bias in these measures is … over time, which stresses the importance of careful modeling and forecasting of volatility. We show that improved model fit …
Persistent link: https://www.econbiz.de/10010945126
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Asymptotic Inference about Predictive Accuracy Using High Frequency Data
Li, Jia; Patton, Andrew J. - Duke University, Department of Economics - 2013
volatility, correlation, beta, quadratic variation, jump variation, and other functionals of an underlying continuous …
Persistent link: https://www.econbiz.de/10010834073