This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relation- ship between the probability to observe a transaction at each instant of time and the type of the previous trade is...

In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Es ist eine weitverbreitete Wahrnehmung, dass die Politik vergleichsweise schlecht funktio-niert, das heisst nur unbefriedigende Ergebnisse hervorbringt. Politiker und Parteien haben eine geringe Wertschätzung in der Gesellschaft. Dies gilt sowohl für die Bürger als auch für viele Experten...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

Es entspricht einer gängigen Meinung, dass die Politik schlecht funktioniert. Politiker genießen nur eine mäßige Wertschätzung. Die Parteien sind auch für politisch engagierte Bürger als Plattform für eigene Aktivitäten zunehmend unattraktiv geworden und werden eher als notwendiges...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components...

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be interpreted as a problem of omitted variables and may seriously bias parameter estimates and harm inference. We suggest a possibility of...