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Nonlinear intermediary pricing in the oil futures market
Bierbaumer, Daniel; Rieth, Malte; Velinov, Anton - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10011790776
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A high-low model of daily stock price ranges
Cheung, Stephen Y. L. (contributor);  … - 2008
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10003749656
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A High-Low Model of Daily Stock Price Ranges
Cheung, Stephen Yan-Leung - 2015
We observe that daily highs and lows of stock prices do not diverge over time and, hence, adopt the cointegration concept and the related vector error correction model (VECM) to model the daily high, the daily low, and the associated daily range data. The in-sample results attest the importance...
Persistent link: https://www.econbiz.de/10012707381
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Financial sector volatility connectedness and equity returns
Demirer, Mert; Gökçen, Umut; Yılmaz, Kamil - 2018
to construct a volatility connectedness index. We then estimate the contemporaneous return sensitivity of every non … firms with positive and negative exposures to financial connectedness. The four-factor alpha of a strategy that goes long in … the bottom decile and short in the top decile of stocks sorted on their connectedness betas is roughly 15% per annum …
Persistent link: https://www.econbiz.de/10011778209
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Evaluating the effect of "Zumwinkel-Affair" and financial crisis on stock prices in Liechtenstein : an "unconventional" augmented GARCH-approach
Brunhart, Andreas - 2011 - Preliminary version
. Additionally to the deep world recession, Liechtenstein's financial sector was challenged by the "Zumwinkel-Affair" (data of …
Persistent link: https://www.econbiz.de/10009153349
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Nonlinear Intermediary Pricing in the Oil Futures Market
Bierbaumer, Daniel - 2018
We study the state-dependent trading behavior of financial intermediaries in the oil futures market, using structural vector autoregressions with Markov switching in heteroskedasticity. We decompose changes in futures price volatility into changes in the slopes of traders' demand curves and in...
Persistent link: https://www.econbiz.de/10012926240
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Stock market's reactions to revelation of tax evasion : an empirical assessment
Brunhart, Andreas - 2012 - update
Additionally to the financial crisis causing a world recession, Liechtenstein’s financial sector has been challenged by …
Persistent link: https://www.econbiz.de/10010128449
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Can stock price fundamentals properly be captured? : using Markov switching in hetereskedasticity models to test identification schemes
Velinov, Anton - 2013
Structural identification schemes are of essential importance to vector autoregressive (VAR) analysis. This paper tests a commonly used structural parameter identification scheme to assess whether it can properly capture fundamental and non-fundamental shocks to stock prices. In particular, five...
Persistent link: https://www.econbiz.de/10010229662
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The response of stock market volatility to futures-based measures of monetary policy shocks
Gospodinov, Nikolaj; Jamali, Ibrahim - 2014
's effect on fundamentals. The estimation results from a bivariate VAR-GARCH model suggest that the Fed does not respond to the …
Persistent link: https://www.econbiz.de/10010395968
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The market impact of a limit order
Hautsch, Nikolaus; Huang, Ruihong - 2009
Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...
Persistent link: https://www.econbiz.de/10003893148