Showing 1 - 10 of 47
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
Persistent link: https://www.econbiz.de/10000994244
's dynamic properties may lead to misestimation of the intraday spot volatility. …
Persistent link: https://www.econbiz.de/10011411344
We introduce a new fractionally integrated model for covariance matrix dynamics based on the long-memory behavior of daily realized covariance matrix kernels and daily return observations. We account for fat tails in both types of data by appropriate distributional assumptions. The covariance...
Persistent link: https://www.econbiz.de/10011531139
-Leibler divergence in empirically relevant settings. We illustrate the theory with an application to time-varying volatility models. We …
Persistent link: https://www.econbiz.de/10010340740
has generally increased over time, and that in times of crisis liquidity is lower and the volatility of liquidity is …
Persistent link: https://www.econbiz.de/10012020325
Persistent link: https://www.econbiz.de/10012108571
Persistent link: https://www.econbiz.de/10010494787
. The methodology is hybrid because it combines a formaltesting procedure with volatility curve pattern recognition based …
Persistent link: https://www.econbiz.de/10011299968
Persistent link: https://www.econbiz.de/10011300485