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Jump variation estimation with noisy high frequency financial data via wavelets

Zhang, Xin; Kim, Donggyu; Wang, Yazhen - In: Econometrics : open access journal 4 (2016) 3, pp. 1-26

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component …-step procedure with detection and estimation. In Step 1, we detect the jump locations by performing wavelet transformation on the …

Persistent link: https://www.econbiz.de/10011568279

Non-Parametric Estimation of Intraday Spot Volatility : Disentangling Instantaneous Trend and Seasonality

Vatter, Thibault - 2016

We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...

Persistent link: https://www.econbiz.de/10013007161

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

Causality between stock prices and exchange rates in Turkey : empirical evidence from the ARDL bounds test and a combined cointegration approach

Türsoy, Turgut - In: International Journal of Financial Studies : open … 5 (2017) 1, pp. 1-10

This paper investigates the interaction between stock prices and real exchange rates by applying monthly data from Turkey for the period between January 2001 and September 2016. This study uses the autoregressive distributed lag (ARDL) model and the Error Correction Model (ECM) in order to...

Persistent link: https://www.econbiz.de/10011649295

Nonparametric Estimation and Testing for Instability of Discount Rate and Cash Flow Channels of Stock Returns

Yu, Deshui; Xu, Xiu; Chen, Li; Li, Luyang - 2023

According to the log-linear return approximation, the ability of a predictor to predict future stock returns may arise from its ability to predict either the cash flows or the discount rates, or both. This paper introduces novel nonparametric approaches for estimating and testing the time...

Persistent link: https://www.econbiz.de/10014351244

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...

Persistent link: https://www.econbiz.de/10011398115

Volatility Estimation and Forecasts Based on Price Durations

Hong, Seok Young - 2020

duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi …

Persistent link: https://www.econbiz.de/10012855793

Evaluation of forecasting methods from selected stock market returns

Mallikarjuna, M.; Rao, R. Prabhakara - In: Financial innovation : FIN 5 (2019) 40, pp. 1-16

Forecasting stock market returns is one of the most effective tools for risk management and portfolio diversification. There are several forecasting techniques in the literature for obtaining accurate forecasts for investment decision making. Numerous empirical studies have employed such methods...

Persistent link: https://www.econbiz.de/10012268500

Nonparametric modelling of financial time series

Heid, Frank - 1998

Persistent link: https://www.econbiz.de/10000668367

Nonparametric modeling in financial time series

Franke, Jürgen; Kreiß, Jens-Peter; Mammen, Enno - In: Handbook of financial time series, (pp. 927-952). 2009

Persistent link: https://www.econbiz.de/10003834268