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Filtration enlargement-based time series forecast in view of insider trading
Bennett, Luke M.; Hu, Wei - In: Journal of economic surveys 37 (2023) 1, pp. 112-140
Persistent link: https://www.econbiz.de/10014287808
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Striking up with the in crowd : when option markets and insiders agree
Gilstrap, Collin; Petkevich, Alex; Teterin, Pavel - In: Journal of banking & finance 120 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012521489
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Essays on empirical asset pricing and investor behavior
Westheide, Christian - 2011
Persistent link: https://www.econbiz.de/10009412402
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Price Jump Prediction in Limit Order Book
Zheng, Ban - 2012
A limit order book provides information on available limit order prices and their volumes. Based on these quantities … limit order volumes, limit order price gaps, market order information and limit order event information. Logistic regression …
Persistent link: https://www.econbiz.de/10013108794
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Big Data Approach to Realised Volatility Forecasting Using HAR Model Augmented With Limit Order Book and News
Rahimikia, Eghbal - 2020
The study determines if information extracted from a big data set that includes limit order book (LOB) and Dow Jones … corporate news can help to improve realised volatility forecasting for 23 NASDAQ tickers over the sample from 28 June 2007 to 17 … normal volatility day, the ‘negative' sentiment derived from the news has a clear impact, while ‘news count', and to a lesser …
Persistent link: https://www.econbiz.de/10012824203
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From zero to hero: realized partial (co)variances
Bollerslev, Tim; Medeiros, Marcelo C.; Patton, Andrew J.; … - 2021
This paper proposes a generalization of the class of realized semivariance and semicovariance measures introduced by Barndorff-Nielsen, Kinnebrock and Shephard (2010) and Bollerslev, Li, Patton and Quaedvlieg (2020a) to allow for a finer decomposition of realized (co)variances. The new "realized...
Persistent link: https://www.econbiz.de/10012249756
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Forecasting the realized variance in the presence of intraday periodicity
Dumitru, Ana-Maria H.; Hizmeri, Rodrigo; Izzeldin, Marwan - 2019
This paper examines the impact of intraday periodicity on forecasting realized volatility using a heterogeneous … autoregressive model (HAR) framework. We show that periodicity inflates the variance of the realized volatility and biases jump …
Persistent link: https://www.econbiz.de/10012063222
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Modeling and forecasting volatility in the presence of microstructure noise
Kang, Zhixin - 2008
Persistent link: https://www.econbiz.de/10011405240
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Price jump prediction in a limit order book
Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255
Persistent link: https://www.econbiz.de/10010239589
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Forecasting volatility with the realized range in the presence of noise and non-trading
Bannouh, Karim; Martens, Martin; Dijk, Dick van - In: The North American journal of economics and finance : a … 26 (2013), pp. 535-551
Persistent link: https://www.econbiz.de/10010370495