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Consistent estimation, model selection and averaging of dynamic panel data models with fixed effect
Li, Guangjie - 2009
parameter estimation and consistent model selection. Consistency in parameter estimation is achieved by using the tansformation … consistent estimation of the autoregressive coefficient when the wrong set of exogenous regressors are included. To estimate our …
Persistent link: https://www.econbiz.de/10010288764
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Trading volume and the short and long-run components of volatility
Liesenfeld, Roman - 1997
processes are assumed to be autocorrelated which makes standard estimation methods infeasible, a simulated maximum Iikelihood …
Persistent link: https://www.econbiz.de/10010435593
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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash
Pesaran, Bahram; Pesaran, Mohammad Hashem - 2010
making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …
Persistent link: https://www.econbiz.de/10010276271
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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus; Jeleskovic, Vahidin - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10010263738
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Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance
Herwartz, Helmut; Golosnoy, Vasyl - 2007
We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data. Flexible semiparametric predictors referring to the class of dynamic panel and dynamic factor models are adopted for daily forecasts. The parsimonious set up of our approach allows to...
Persistent link: https://www.econbiz.de/10010296287
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Was bewegt den DAX?
Mittnik, Stefan; Robinzonov, Nikolay; Wohlrabe, Klaus - In: ifo Schnelldienst 66 (2013) 23, pp. 32-36
Regelmäßige Veröffentlichungen makroökonomischer Kennzahlen, die von den Erwartungen der Marktteilnehmer abweichen, wirken sich in rund zwei Drittel der Fälle sofort auf den deutschen Aktienmarkt aus. Vor allem Daten zu Investitionen, Zahlen über die realwirtschaftlichen Aktivitäten oder...
Persistent link: https://www.econbiz.de/10011693574
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010270816
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Forecasting stock market volatility with macroeconomic variables in real time
Döpke, Jörg; Hartmann, Daniel; Pierdzioch, Christian - 2006
We compared forecasts of stock market volatility based on real-time and revised macroeconomic data. To this end, we used a new dataset on monthly real-time macroeconomic variables for Germany. The dataset covers the period 1994-2005. We used a statistical, a utility-based, and an options-based...
Persistent link: https://www.econbiz.de/10010295909
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Modelling and forecasting liquidity supply using semiparametric factor dynamics
Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2009
We model the dynamics of ask and bid curves in a limit order book market using a dynamic semiparametric factor model. The shape of the curves is captured by a factor structure which is estimated nonparametrically. Corresponding factor loadings are assumed to follow multivariate dynamics and are...
Persistent link: https://www.econbiz.de/10010303679
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Correlated trades and herd behavior in the stock market
Jurkatis, Simon; Kremer, Stephanie; Nautz, Dieter - 2012
Herd behavior is often viewed as a significant threat for the stability and effciency of financial markets. This paper sheds new light on the relevance of herd behavior for observed correlation of trades. We introduce numerical simulations of a herd model to derive theory-guided predictions...
Persistent link: https://www.econbiz.de/10010318737