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Local Adaptive Multiplicative Error Models for High-Frequency Forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010544325
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10010330969
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Local adaptive multiplicative error models for high-frequency forecasts
Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
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Local Adaptive Multiplicative Error Models for High- Frequency Forecasts
Härdle, Wolfgang K. - 2013
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10013077176
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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality
Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10011411344
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Limit Order Flow, Market Impact and Optimal Order Sizes: Evidence from NASDAQ TotalView-ITCH Data
Hautsch, Nikolaus; Huang, Ruihong - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at …
Persistent link: https://www.econbiz.de/10009275679
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - Center for Financial Studies - 2009
of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing … a high-frequency cointegrated VAR model for ask and bid quotes and several levels of order book depth. Price impacts are …-sectional variations in the magnitudes of price impacts are well explained by the underlying trading frequency and relative tick size. …
Persistent link: https://www.econbiz.de/10010958747
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing … a high-frequency cointegrated VAR model for ask and bid quotes and several levels of order book depth. Price impacts are …-sectional variations in the magnitudes of price impacts are well explained by the underlying trading frequency and relative tick size. …
Persistent link: https://www.econbiz.de/10010270722
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing … a high-frequency cointegrated VAR model for ask and bid quotes and several levels of order book depth. Price impacts are …-sectional variations in the magnitudes of price impacts are well explained by the underlying trading frequency and relative tick size. …
Persistent link: https://www.econbiz.de/10010303710
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Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data
Hautsch, Nikolaus; Huang, Ruihong - 2011
In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at …
Persistent link: https://www.econbiz.de/10010281582