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Modelling high-frequency volatility and liquidity using multiplicative error models
Hautsch, Nikolaus (contributor);  … - 2008
In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as trading costs in an electronic limit order book market. Using data from the Australian Stock Exchange we model 1-min squared mid-quote returns, average trade sizes, number of...
Persistent link: https://www.econbiz.de/10003727673
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Risk and Dependence Analysis of Australian Stock Market - The Case of Extreme Value Theory
Singh, Abhay Kumar - 2013
The quantification of risk and dependence are major components of financial risk modelling. Financial risk modelling frequenty uses the assumption of a normal distribution when considereing the return series which makes modelling easy but is inefficient if the data is not normally distributed or...
Persistent link: https://www.econbiz.de/10013090357
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Which Factors are Priced? An Application of the Fama French Three-Factor Model in Australia
Vo, Duc - 2014
portfolio formation adopted in previous empirical studies in Australia and overseas. Three scenarios are constructed to assess … priced in Australia. However, there is a negative relationship between this factor and a return of a stock which is in … contrast with an expectation of the Fama French three-factor model. As such, a claim from a recent study in Australia that for …
Persistent link: https://www.econbiz.de/10013049048
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A Comparative Analysis of Oil as a Risk Factor in Australian Industry Stock Returns, 1980-2006
McSweeney, Evan J; Worthington, Andrew C. - 2021
This paper uses a multifactor model to examine the role of crude oil as a pricing factor in Australian excess industry returns over the period January 1980 to August 2006. A dynamic model is also specified to provide insights into the relationship between the stock market and past oil price...
Persistent link: https://www.econbiz.de/10013219953
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Market timing and statistical arbitrage : which market timing opportunities arise from equity price busts coinciding with recessions? : the Swedish stock market in the financial cr...
Grobys, Klaus - In: Journal of applied finance & banking 1 (2011) 1, pp. 53-81
Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...
Persistent link: https://www.econbiz.de/10009241516
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
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...
Persistent link: https://www.econbiz.de/10011379469
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Volatility forecasting : downside risk, jumps and leverage effect
Audrino, Francesco; Hu, Yujia - In: Econometrics : open access journal 4 (2016) 1, pp. 1-24
We provide empirical evidence of volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Using recently-developed methodologies to detect jumps from high frequency price data, we estimate the size of positive and negative jumps and...
Persistent link: https://www.econbiz.de/10011504739
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Modeling international stock market contagion using multivariate fractionally integrated APARCH approach
Mighri, Zouheir; Mansouri, Fayçal - In: Cogent economics & finance 2 (2014) 1, pp. 1-25
The aim of this article is to examine how the dynamics of correlations between two emerging countries (Brazil and Mexico) and the US evolved from January 2003 to December 2013. The main contribution of this study is to explore whether the plunging stock market in the US, in the aftermath of...
Persistent link: https://www.econbiz.de/10010490457
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Multivariate fractionally integrated APARCH modeling of stock market volatility : a multi-country study
Conrad, Christian; Karanasos, Menelaos; Zeng, Ning - 2008
Tse (1998) proposes a model which combines the fractionally integrated GARCH formulation of Baillie, Bollerslev and Mikkelsen (1996) with the asymmetric power ARCH specification of Ding, Granger and Engle (1993). This paper analyzes the applicability of a multivariate constant conditional...
Persistent link: https://www.econbiz.de/10003747371
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The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk
Dobrev, Dobrislav - 2011
We demonstrate that the parameters controlling skewness and kurtosis in popular equity return models estimated at daily frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information content of realized volatility measures extracted...
Persistent link: https://www.econbiz.de/10013128339