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Long-Run Wavelet-Based Correlation for Financial Time Series
Conlon, Thomas - 2018
The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...
Persistent link: https://www.econbiz.de/10012917953
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Understanding Jumps in High Frequency Digital Asset Markets
Saef, Danial; Nagy, Odett; Sizov, Sergej; Härdle, … - 2021
While attention is a predictor for digital asset prices, and jumps in Bitcoin prices are well-known, we know little … digital asset returns are driven by high frequency jumps clustered around black swan events, resembling volatility and trading … volume seasonalities. Regressions show that intra-day jumps significantly influence end of day returns in size and direction …
Persistent link: https://www.econbiz.de/10013323741
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Gold, oil, and stocks : dynamic correlations
Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015
We employ a wavelet approach and conduct a time-frequency analysis of dynamic correlations between pairs of key traded assets (gold, oil, and stocks) covering the period from 1987 to 2012. The analysis is performed on both intra-day and daily data. We show that heterogeneity in correlations...
Persistent link: https://www.econbiz.de/10010515402
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A cost-benefit analysis of capital requirements for the Danish economy
Mikkelsen, Jakob Guldbæk; Pedersen, Jesper - 2017
We analyse the costs and benefits of increasing capital requirements for Danish banks. Costs can be close to 0 if banks suspend dividend payments for a period of time as banks accumulate capital and if investors' required return falls. The latter implies that the Modigliani-Miller effect is...
Persistent link: https://www.econbiz.de/10011778734
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Behavioral Finance - Asset Prices Predictability, Equity Premium Puzzle, Volatility Puzzle : The Rational Finance Approach
Rachev, Svetlozar T. - 2020
In this paper we address three main objections of behavioral finance to the theory of rational finance, considered as “anomalies” the theory of rational finance cannot explain: (i) Predictability of asset returns; (ii) The Equity Premium; (iii) The Volatility Puzzle. We offer resolutions of...
Persistent link: https://www.econbiz.de/10012842392
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Modelling Financial Contagion Using High Frequency Data
Yao, Wenying - 2020
This paper develops a methodology for detecting and measuring contagion using high frequency data which disentangles continuous and discontinuous price movements. We demonstrate its finite sample properties using Monte-Carlo simulation, focusing on the empirically plausible parameter space....
Persistent link: https://www.econbiz.de/10012831449
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TVICA - time varying independent component analysis and its application to financial data
Chen, Ray-Bing; Chen, Ying; Härdle, Wolfgang Karl - 2011
Source extraction and dimensionality reduction are important in analyzing high dimensional and complex financial time series that are neither Gaussian distributed nor stationary. Independent component analysis (ICA) method can be used to factorize the data into a linear combination of...
Persistent link: https://www.econbiz.de/10010281529
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the...
Persistent link: https://www.econbiz.de/10010281553
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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 of volatility in finance for portfolio allocation,...
Persistent link: https://www.econbiz.de/10011568279
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Asymptotic equivalence and sufficiency for volatility estimation under microstructure noise
Reiß, Markus - 2011
The basic model for high-frequency data in finance is considered, where an efficient price process is observed under microstructure noise. It is shown that this nonparametric model is in Le Cam's sense asymptotically equivalent to a Gaussian shift experiment in terms of the square root of the...
Persistent link: https://www.econbiz.de/10009125537