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Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang; Hautsch, Nikolaus; Mihoci, Andrija - 2012

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

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

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 q-Weibull Autoregressive Conditional Duration Model with an Application to NYSE and HSE Data

Vuorenmaa, Tommi A. - 2011

This paper generalizes the ACD models of Engle and Russell (1998) using the so-called q-Weibull distribution as the conditional distribution. The new specification allows the hazard function to be non-monotonic. We document that the q-Weibull distribution recently suggested in physics as a...

Persistent link: https://www.econbiz.de/10013118929

High-Frequency Volatility Modelling : A Markov-Switching Autoregressive Conditional Intensity Model

Li, Yifan - 2019

We develop a Markov-Switching Autoregressive Conditional Intensity (MS-ACI) model with time-varying transitional parameters, and show that it can be reliably estimated via the Stochastic Approximation Expectation-Maximization algorithm. Applying our model to high-frequency transaction data, we...

Persistent link: https://www.econbiz.de/10012903299

Local Adaptive Multiplicative Error Models for High- Frequency Forecasts

Härdle, Wolfgang K. - 2013

We propose a local adaptive multiplicative error model (MEM) accommodating time-varying 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/10013077176

Zero-inflated autoregressive conditional duration model for discrete trade durations with excessive zeros

Blasques, Francisco; Holý, Vladimír; Tomanová, Petra - 2019

In finance, durations between successive transactions are usually modelled by the autoregressive conditional duration model based on a continuous distribution omitting frequent zero values. Zero durations can be caused by either split transactions or independent transactions. We propose a...

Persistent link: https://www.econbiz.de/10011954223

Volatility estimation on the basis of price intensities

Gerhard, Frank; Hautsch, Nikolaus - 1999

Persistent link: https://www.econbiz.de/10001447119

Determinants of inter-trade durations and hazard rates using proportional hazard ARMA models

Gerhard, Frank - 2000

Persistent link: https://www.econbiz.de/10013436039

Volatility estimation on the basis of price intensities

Gerhard, Frank; Hautsch, Nikolaus - 1999

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

Persistent link: https://www.econbiz.de/10011543683

Assets bubbles, unemploymen, and financial market frictions

Hashimoto, Ken'ichi; Im, Ryonghun; Kunieda, Takuma; … - 2020

A tractable model with infinitely lived agents is constructed for the examination of bubbles and unemployment. It is … demonstrated that the presence of bubbles stimulates capital accumulation and reduces unemployment. The presence of bubbles also … changes the effects of government policies that target unemployment and welfare conditions in the labor market. The main …

Persistent link: https://www.econbiz.de/10012254416

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