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How frequently does the stock price jump? An analysis of high-frequency data with microstructure noises
Duan, Jin-Chuan; Fülöp, András - 2007
The stock price is assumed to follow a jump-diffusion process which may exhibit time-varying volatilities. An econometric technique is then developed for this model and applied to high-frequency time series of stock prices that are subject to microstructure noises. Our method is based on first...
Persistent link: https://www.econbiz.de/10010322485
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Goodness-of-fit tests for bivariate time series of counts
Hudecová, Šárka; Hušková, Marie; Meintanis, Simos G. - In: Econometrics 9 (2021) 1, pp. 1-20
This article considers goodness-of-fit tests for bivariate INAR and bivariate Poisson autoregression models. The test statistics are based on an L2-type distance between two estimators of the probability generating function of the observations: one being entirely nonparametric and the second one...
Persistent link: https://www.econbiz.de/10012696315
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Sturm und Drang in money market funds: when money market funds cease to be narrow
Jank, Stephan; Wedow, Michael - 2008
less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During … the shortening of liquidity caused by the subprime crisis illiquid funds experienced runs, while more liquid funds …
Persistent link: https://www.econbiz.de/10010298776
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The dark and the bright side of liquidity risks: evidence from open-end real estate funds in Germany
Fecht, Falko; Wedow, Michael - 2009
We use a unique and comprehensive data set on open-end real estate funds in Germany to study a liquidity crisis that hit this industry between 2005 and 2006. Since this industry is comparably unregulated our data set permits us to contrast competing explanations of liquidity crisis. We find that...
Persistent link: https://www.econbiz.de/10010299258
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Sturm und Drang in money market funds: When money market funds cease to be narrow
Jank, Stephan; Wedow, Michael - 2010
less liquid assets, however, widens the narrow structure of money market funds and makes them vulnerable to runs. During … the shortening of liquidity caused by the subprime crisis, illiquid funds experienced runs, while more liquid funds …
Persistent link: https://www.econbiz.de/10010302550
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Gates, fees, and preemptive runs
Cipriani, Marco; Martin, Antoine; McCabe, Patrick; … - 2014
intermediary to impose redemption fees or gates in a crisis - a form of suspension of convertibility - can lead to preemptive runs … intermediaries that are vulnerable to runs, such as money market funds, because the preemptive runs that can be caused by the …
Persistent link: https://www.econbiz.de/10011340960
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The fragility of short-term secured funding markets
Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig - 2013
potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which determine whether a run can … productivity and size. Moreover, systemic runs are possible if shocks to the valuation of collateral held by outside investors are …
Persistent link: https://www.econbiz.de/10010333587
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The Fragility of Short-Term Secured Funding Markets
Martin, Antoine; Skeie, David; von Thadden, Ernst-Ludwig - 2013
, they are subject to potential runs. We derive distinct liquidity, collateral, and asset liquidation constraints, which …. These determinants depend on the borrower's (endogenous) balance sheet and on (exogenous) fundamentals. Systemic runs are …
Persistent link: https://www.econbiz.de/10010333758
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Fragility in money marketfunds: sponsor support and regulation
Parlatore, Cecilia - 2015
industry. I find that strategic complementarities in the sponsors’ support decisions can make MMFs vulnerable to runs different … from the canonical bank-runs: it may lead to runs of intermediaries on each other through firesales in the money market. I …
Persistent link: https://www.econbiz.de/10011605817
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Double bank runs and liquidity risk management
Ippolito, Filippo; Peydró, José-Luis; Polo, Andrea; … - 2016
. After the shock, there are sizeable, aggregate double-runs. In the cross-section, pre-shock interbank exposure is …
Persistent link: https://www.econbiz.de/10011984791