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Volatility Estimation and Forecasts Based on Price Durations

Hong, Seok Young - 2020

We investigate price duration variance estimators that have long been neglected in the literature. We show i) how price duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi-martingale price process and ii) how they are affected by a)...

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

Anchoring Credit Default Swap Spreads to Firm Fundamentals

Bai, Jennie - 2018

This paper examines the capability of firm fundamentals in explaining the cross-sectional variation of credit default swap (CDS) spreads. The paper constructs a fundamental-based CDS valuation by combining the Merton distance-to-default measure with a long list of firm fundamental...

Persistent link: https://www.econbiz.de/10012940272

Macroeconomic News Effects on the Stock Markets in Intraday Data

Bedowska-Sojka, Barbara - 2017

The aim of the paper is to compare reactions of two stock markets, the German and the French, to releases of macroeconomic fundamentals emanating from Germany and the U.S. We examine the reaction of intraday returns and volatility of the CAC40 and the DAX indices to macroeconomic surprises. We...

Persistent link: https://www.econbiz.de/10012942389

Mid-Price Prediction in a Limit Order Book

Palguna, Deepan - 2015

We propose several nonparametric predictors of the mid-price in a limit order book, based on different features constructed from the order book data observed contemporaneously and in the recent past. We evaluate our predictors in the context of an order execution task by constructing order...

Persistent link: https://www.econbiz.de/10013031095

Robust estimation of integrated variance and quarticity under flat price and no trading bias

Schulz, Frowin C. - 2010 - 2nd version: August 7, 2010

This paper investigates a selection of methods disentangling contributions from price jumps to realized variance. Flat prices (consecutively sampled prices in calendar time with the same value) and no trading (no price observation at sampling points), both frequently occurring stylized facts in...

Persistent link: https://www.econbiz.de/10008939379

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach

Gaißer, Sandra Caterina - 2016

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio … comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean … profit and loss data and Value-at-Risk estimates of the 11 banks, the paper specifically models and analyzes the portfolio …

Persistent link: https://www.econbiz.de/10012989258

Good Volatility, Bad Volatility and the Cross-Section of Stock Returns

Bollerslev, Tim - 2018

Based on intraday data for a large cross-section of individual stocks and newly developed econometric procedures, we decompose the realized variation for each of the stocks into separate so-called realized up and down semi-variance measures, or “good” and “bad” volatilities, associated...

Persistent link: https://www.econbiz.de/10012937470

High Frequency Trading Strategy for the 30 Year Treasury Bond

Decrem, Peter - 2020

We construct new features based on order book data and separate them into three groups, e.g., time-insensitive features, time-sensitive features and cointegration features. For time-insensitive features, we applied serval transformation on imbalance in different levels, and some other features...

Persistent link: https://www.econbiz.de/10012841890

Stock Price Analysis Under Extreme Value Theory

Louangrath, Paul - 2017

the SET100 index. From the sample distribution F(X), extreme values were identified. A tail index E was calculated to … verify the distribution for each security was identified. Using EVT, the threshold value was estimated and used as a tool for … risk assessment for each stock. It was found that Thailand's SET100 consists of two groups of stocks according to price …

Persistent link: https://www.econbiz.de/10012970310

Stochastic Volatility of Volatility and Variance Risk Premia

Barndorff-Nielsen, Ole E. - 2011

of the variance risk premium (VRP). Moreover, provided the physical and the risk -- neutral probability measures are …

Persistent link: https://www.econbiz.de/10013117444