This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...

This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation of asset prices. We derive jump robust inference for pre-averaging estimators, corresponding feasible central limit theorems and an explicit test on serial dependence in...

In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08–2015:05. Using the Empirical Mode Decomposition technique, the S&P 500 stock price index is divided into different frequencies known as...

This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

The purpose of this paper is to provide that the explanation of excessive volatility can be only done through an attentive description of the psychological aspects of the investors. Our interest is carried in particular to the overconfidence bias. Our objective in this study is to identify...

In this study, the scaling properties of the oil and gold return volatilities have been analyzed in the context of bull and bear periods. In the determination of bull and bear turning points, we used the Modified Bry-Boschan Quarterly (MBBQ) algorithm. Results showed that the business cycle...

Taking advantage of a trades-and-quotes high-frequency database, we document the main stylized facts and dynamic properties of spot precious metals, i.e. gold, silver, palladium, and platinum. We analyze the behaviors of spot prices, returns, volume, and selected liquidity measures. We find...

In this paper, the dynamics of Standard and Poor's 500 (S&P 500) stock price index is analysed within a time-frequency framework over a monthly period 1791:08-2015:05. Using the Empirical Mode Decomposition technique, the S&P 500 stock price index is divided into different frequencies known as...

In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and trading time, was developed as an...