Showing 1 - 10 of 22
The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-specified stationary density with tail...
Persistent link: https://www.econbiz.de/10010326158
Persistent link: https://www.econbiz.de/10010512597
Persistent link: https://www.econbiz.de/10011378505
Persistent link: https://www.econbiz.de/10009724340
We investigate high-frequency volatility models for analyzing intra-day tick by tick stock price changes using Bayesian estimation procedures. Our key interest is the extraction of intra-day volatility patterns from high-frequency integer price changes. We account for the discrete nature of the...
Persistent link: https://www.econbiz.de/10011456723
Persistent link: https://www.econbiz.de/10011489343
Intraday high-frequency data of stock returns exhibit not only typical characteristics (e.g., volatility clustering and the leverage effect) but also a cyclical pattern of return volatility that is known as intraday seasonality. In this paper, we extend the stochastic volatility (SV) model for...
Persistent link: https://www.econbiz.de/10012520275
Persistent link: https://www.econbiz.de/10013275370
Persistent link: https://www.econbiz.de/10011987788
Persistent link: https://www.econbiz.de/10011962562