Showing 1 - 10 of 1,095
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
The accuracy of variance prediction depends on both the specification and the accuracy of parameter estimation. To predict stock return variance in a large and ever-changing universe, this paper proposes to replace the classic time-series dynamics specification per each name with a...
Persistent link: https://www.econbiz.de/10013403955
Persistent link: https://www.econbiz.de/10014420354
The objective of this paper is to provide a practical tool for stock price evaluation and forecasting under Extreme Value Theory (EVT). Three existing models are reviewed; these models include: Mordern Portfolio Theory, Black-Scholes, and Jarrow-Rudd models. It was found that these models may not...
Persistent link: https://www.econbiz.de/10012970310
We empirically investigate the effect of option listing on the underlying stock efficiency by examining the stock price duration dynamic and the informed trading activity around option listing. We use univariate tests and extended Log-ACD models that account for liquidity. Despite a significant...
Persistent link: https://www.econbiz.de/10013036230
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
A flexible statistical approach for the analysis of time-varying dynamics of transaction data on financial markets is here applied to intra-day trading strategies. A local adaptive technique is used to successfully predict financial time series, i.e., the buyer and the seller-initiated trading...
Persistent link: https://www.econbiz.de/10010374563
We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....
Persistent link: https://www.econbiz.de/10009526607
The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...
Persistent link: https://www.econbiz.de/10014112120
We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Leverage and volatility feedback effects of the S&P 500 price and volatility dynamics are examined using recently developed methodologies to...
Persistent link: https://www.econbiz.de/10013119824