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This paper examines the relationship between the energy and equity markets by estimating volatility impulse response functions from a multivariate BEKK model of the Goldman Sach's Energy Index and the S&P 500; in addition, we also calculate the time varying conditional correlations and time varying...
Persistent link: https://www.econbiz.de/10011100076
This paper analyzes the inter-temporal relationship between currency price changes and their expectations on intra-day frequencies. We examine how price expectations are transmitted into prices by means of order flow and how order flow is affected by past prices (feedback effects). Based on a...
Persistent link: https://www.econbiz.de/10012721590
Based on a structural model we analyze adverse selection costs and liquidity supply in a pure open limit order book market. Given the discontenting empirical model performance reported in the previous literature, we relax restrictive assumptions of the underlying theoretical model concerning...
Persistent link: https://www.econbiz.de/10012721829
Many finance questions require a full characterization of the distribution of returns. We propose a bivariate model of returns and realized volatility (RV), and explore which features of that time-series model contribute to superior density forecasts over horizons of 1 to 60 days out of sample....
Persistent link: https://www.econbiz.de/10012723304
In this study we examine a causal relationship between series of returns and traded volumes in high-frequency data. Our analysis is based on the methodology of Ghysels, Gourieroux and Jasiak (2000), who develop a qualitative framework in which dynamics of financial series are restricted to...
Persistent link: https://www.econbiz.de/10012723504
Many researchers claim that the stock markets are getting more and more integrated. In other words, it is believed that there are stronger financial market linkages or co-movements among the stock markets around the globe. We attempt to determine whether there are financial market linkages or...
Persistent link: https://www.econbiz.de/10012724168
In order to capture observed asymmetric dependence in international financial returns, we construct a multivariate regime-switching model of copulas. We model dependence with one Gaussian and one canonical vine copula regime. Canonical vines are constructed from bivariate conditional copulas and...
Persistent link: https://www.econbiz.de/10012725220
This study makes an innovative approach, since it applies a set of diversified tests, which have not been used on a joint basis until now, in order to study the contagion effects of financial crises in the stock markets of developed countries. This is particularly important due to the fact that...
Persistent link: https://www.econbiz.de/10012725318
This paper presents unambiguous evidence that trading European government securities on EuroMTS contributes to determine their (unobservable) efficient price. Using twenty-seven months of daily transaction prices data for 107 bonds issued by eleven European governments, the estimated EuroMTS...
Persistent link: https://www.econbiz.de/10012726021
We propose a unified framework for estimating integrated variances and covariances based on simple OLS regressions, allowing for a general market microstructure noise specification. We show that our estimators can outperform, in terms of the root mean squared error criterion, the most recent and...
Persistent link: https://www.econbiz.de/10012726423