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Duration, trading volume and the price impact oftrades in an emerging futures market

Bowe, Michael; Hyde, Stuart; McFarlane, Lavern - Manchester Business School - 2007

This paper examines the price impact of trading intensity on an emerging futures market. Utilizing anovel volume-augmented duration model of price discovery, the intensity effect is decomposed intoliquidity and information components for the MexDer 28-day interest rate futures contract. We...

Persistent link: https://www.econbiz.de/10005870368

Does the “Bund” dominate price discovery in Euro bond futures?Examining information shares

Fricke, Christoph; Menkhoff, Lukas - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010

This paper examines the relative information shares of the Bund, i.e. the ten-year Euro bondfuture contract on German sovereign debt, versus two futures with shorter maturity. We findthat the Bund is most important but does not dominate price discovery. The other contractsalso have relevant –...

Persistent link: https://www.econbiz.de/10009302617

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

long time, affecting significantly stock prices. For appropriaterepresentation of the series dynamics and the possibility …

Persistent link: https://www.econbiz.de/10005861020

Jumps in High-Frequency Data: Spurious Detections, Dynamics, and News

Bajgrowicz, Pierre; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011

We propose a technique to avoid spurious detections of jumps in highfrequencydata via an explicit thresholding on available test statistics. Weprove that it eliminates asymptotically all spurious detections. MonteCarlo results show that it performs also well in finite samples. In DowJones...

Persistent link: https://www.econbiz.de/10009486851

Structural Constant Conditional Correlation

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

A small strand of recent literature is occupied with identifying simultaneity in multipleequation systems through autoregressive conditional heteroscedasticity. Since thisapproach assumes that the structural innovations are uncorrelated, any contemporaneousconnection of the endogenous variables...

Persistent link: https://www.econbiz.de/10005860741

Value-at-Risk and Expected Shortfall when there is long range dependence

Härdle, Wolfgang; Mungo, Julius - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

Empirical studies have shown that a large number of financial asset returns exhibit fat tails and are often characterized by volatility clustering and asymmetry. Also revealed as a stylized fact is Long memory or long range dependence in market volatility, with significant impact on pricing and...

Persistent link: https://www.econbiz.de/10005860751

Solving Linear Rational Expectations Models with Lagged Expectations Quickly and Easily

Meyer-Gohde, Alexander - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

A solution method is derived in this paper for solving a system of linear rationalexpectations equation with lagged expectations (e.g., models incorporating sticky information) using the method of undetermined coefficients for the infinite MA representation. The method applies a combination of a...

Persistent link: https://www.econbiz.de/10005860765

Modelling Financial High Frequency Data Using Point Processes

Bauwens, Luc; Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

In this paper, we give an overview of the state-of-the-art in the econometric literature on the modeling of so-called financial point processes. The latter are associated with the random arrival of specific financial trading events, such as transactions, quote updates, limit orders or price...

Persistent link: https://www.econbiz.de/10005860832

Correlation vs. Causality in Stock Market Comovement

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

This paper seeks to disentangle the sources of correlations between high-, mid- and lowcap stock indexes from the German prime standard. In principle, such comovement can arise from direct spillover between the variables or due to common factors. By standard means, these different components are...

Persistent link: https://www.econbiz.de/10005860834

Capturing Common Components in High-Frequency Financial Time Series: A Multivariate Stochastic Multiplicative Error Model

Hautsch, Nikolaus - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics …) common factor dynamics as well as idiosyncratic effects in the processes of high-frequency return volatilities, trade sizes … and intensities are driven by idiosyncratic dynamics as well as a highly persistent common factor capturing most causal …

Persistent link: https://www.econbiz.de/10005860983