Narrow search
Showing 1 - 10 of 12,318
Cover Image
Does Systematic Sampling Preserve Granger Causality with an Application to High Frequency Financial Data?
Abeysinghe, Tilak - 2017
causal inference and systematic sampling of stationary variables preserves the direction of causality. This paper examines … results. Quite contrary to the stationary case, this paper shows that systematic sampling of integrated series may induce … spurious causality. In particular, systematic sampling induces spurious bi-directional Granger causality among the variables if …
Persistent link: https://www.econbiz.de/10012964296
Cover Image
Price discovery in a continuous-time setting
Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, … - In: Journal of financial econometrics 19 (2021) 5, pp. 985-1008
Persistent link: https://www.econbiz.de/10012799058
Cover Image
A multi-indicator multi-output mixed frequency sampling approach for stock index forecasting
Pan, Yuchen; Xiao, Zhi; Wang, Xianning; Yang, Daoli - In: Romanian journal of economic forecasting 22 (2019) 4, pp. 100-123
Persistent link: https://www.econbiz.de/10012420590
Cover Image
Testing for non-correlation between price and volatility jumps
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot - In: Journal of econometrics 197 (2017) 2, pp. 284-297
Persistent link: https://www.econbiz.de/10011818360
Cover Image
Excess stock returns and news : evidence from European markets
Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46
Persistent link: https://www.econbiz.de/10001244084
Cover Image
Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index
Billio, Monica - 2012
We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...
Persistent link: https://www.econbiz.de/10013114729
Cover Image
Excess Stock Returns and News : Evidence from European Markets
Malliaropulos, Dimitris - 2022
This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...
Persistent link: https://www.econbiz.de/10014236921
Cover Image
Preaveraging-based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - In: Journal of business & economic statistics : JBES ; a … 31 (2013) 2, pp. 165-183
Persistent link: https://www.econbiz.de/10009754008
Cover Image
Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
Herrmann, Klaus; Teis, Stefan; Yu, Weijun - 2014
unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in … predictive power of the different components depends on sampling frequencies. …
Persistent link: https://www.econbiz.de/10010442584
Cover Image
Macroeconomic determinants of stock market betas
González Sánchez, Mariano; Nave, Juan; Rubio, Gonzalo - In: Journal of empirical finance 45 (2018), pp. 26-44
Persistent link: https://www.econbiz.de/10012102444