Showing 1 - 7 of 7
Starting with the advent of the event study methodology, the puzzle of how public information relates to changes in asset prices has unraveled gradually. Using a sample of 28 large US companies, we investigate how more than 3 million firm specific news items are related to firm specific stock...
Persistent link: https://www.econbiz.de/10010851241
This paper investigates long-run dependencies of volatility and volume, supposing that are driven by the same informative process. Log-realized volatility and log-volume are characterized by upper and lower tail dependence, where the positive tail dependence is mainly due to the jump component....
Persistent link: https://www.econbiz.de/10005079004
We consider a local Whittle analysis of a stationary fractionally cointegrated model. A two step estimator equivalent to the local Whittle QMLE is proposed to jointly estimate the integration orders of the regressors, the integration order of the errors, and the cointegration vector. The...
Persistent link: https://www.econbiz.de/10005787527
We give an overview of a broad class of models designed to capture stochastic volatility in financial markets, with illustrations of the scope of application of these models to practical finance problems. In a broad sense, this model class includes GARCH, but we focus on a narrower set of...
Persistent link: https://www.econbiz.de/10008504200
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...
Persistent link: https://www.econbiz.de/10005440033
In the present paper we suggest to model Realized Volatility, an estimate of daily volatility based on high frequency data, as an Inverse Gaussian distributed variable with time varying mean, and we examine the joint properties of Realized Volatility and asset returns. We derive the appropriate...
Persistent link: https://www.econbiz.de/10005440036
We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration. This concept allows derivation of useful long-run relations even among stationary long memory processes. The approach uses a degenerating part of the periodogram...
Persistent link: https://www.econbiz.de/10005114057