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Quantifying reflexivity in financial markets : towards a prediction of flash crashes
Filimonov, Vladimir; Sornette, Didier - 2012
driving. complex systems ; econophysics ; exogenous ; versus endogenous ; high-frequency trading ; criticality ; trading …
Persistent link: https://www.econbiz.de/10009561617
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Bayesian inference in a stochastic volatility Nelson-Siegel Model
Hautsch, Nikolaus; Yang, Fuyu - 2010
capturing interest rate risk. The so-called Stochastic Volatility Nelson-Siegel (SVNS) model allows for stochastic volatility in … evidence for time-varying volatility in the yield factors. This is mostly true for the level and slope volatility revealing … also the highest persistence. It turns out that the inclusion of stochastic volatility improves the model's goodness …
Persistent link: https://www.econbiz.de/10003952795
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Modelling Systemic Price Cojumps with Hawkes Factor Models
Bormetti, Giacomo - 2013
Instabilities in the price dynamics of a large number of financial assets are a clear sign of systemic events. By investigating a set of 20 high cap stocks traded at the Italian Stock Exchange, we find that there is a large number of high frequency cojumps. We show that the dynamics of these...
Persistent link: https://www.econbiz.de/10013087635
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Data-driven jump detection thresholds for application in jump regressions
Davies, Robert; Tauchen, George Eugene - In: Econometrics : open access journal 6 (2018) 2, pp. 1-25
This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
Persistent link: https://www.econbiz.de/10011823308
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Multifractal models, intertrade durations and return volatility
Segnon, Mawuli - 2015
Persistent link: https://www.econbiz.de/10011299266
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Fractional integration and fat tails for realized covariance kernels and returns
Lucas, André; Opschoor, Anne - 2016 - This version: September 1, 2016
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
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010411945
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Estimating the spot covariation of asset prices : statistical theory and empirical evidence
Bibinger, Markus; Hautsch, Nikolaus; Malec, Peter; … - 2014
We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise parametric spectral covariance...
Persistent link: https://www.econbiz.de/10010412428
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A structural approach to identify financial transmission in distinguished scenarios of crises
Herwartz, Helmut; Roestel, Jan - 2018
behind narrative sign restrictions and allows to extract time varying contemporaneous effects and volatility transmission … from conventional reduced form volatility models with dynamic correlations. We find the market value of banking …
Persistent link: https://www.econbiz.de/10011903210
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Building multivariate time-varying smooth transition correlation GARCH models, with an application to the four largest Australian banks
Hall, Anthony; Silvennoinen, Annastiina; Teräsvirta, Timo - In: Econometrics : open access journal 11 (2023) 1, pp. 1-37
This paper proposes a methodology for building Multivariate Time-Varying STCC-GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for additional correlation regimes, and a detailed...
Persistent link: https://www.econbiz.de/10014281494