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Disentangling trend risk and basis risk with functional time series
Liu, Yanxin; Li, Johnny Siu-Hang - In: Risks : open access journal 11 (2023) 12, pp. 1-18
trend risk and population basis risk. In particular, the cross- and auto-correlations between the innovations of the latent … uncorrelated. This permits us to disentangle trend risk and population basis risk, thereby sparing us from the need to use a … improved robustness in terms of correlation structures and hedging performance, offering a new perspective on treating cross …
Persistent link: https://www.econbiz.de/10014446577
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Dynamic factor models for multivariate count data : an application to stock-market trading activity
Jung, Robert (contributor); Liesenfeld, Roman (contributor);  … - 2008
We propose a dynamic factor model for the analysis of multivariate time series count data. Our model allows for idiosyncratic as well as common serially correlated latent factors in order to account for potentially complex dynamic interdependence between series of counts. The model is estimated...
Persistent link: https://www.econbiz.de/10003738598
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Artificial long memory effects in two agent-based asset pricing models
Franke, Reiner - 2008
This note is concerned with two recent agent-based models of speculative dynamics from the literature, one by Gaunersdorfer and Hommes and the other by He and Li. At short as well as long lags, both of them display an autocorrelation structure in absolute and squared returns that comes...
Persistent link: https://www.econbiz.de/10003738658
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A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
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Towards automated share investment system
Ruta, Dymitr - In: Perception-based data mining and decision making in …, (pp. 135-153). 2007
Persistent link: https://www.econbiz.de/10003577396
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A model for stock market returns : non-Gaussian fluctuations and financial factors
Craven, B. D.; Islam, Sardar M. N. - In: Review of quantitative finance and accounting 30 (2008) 4, pp. 355-370
Persistent link: https://www.econbiz.de/10003711385
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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
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A Markov-switching multifractal inter-trade duration model, with application to US equities
Chen, Fei; Diebold, Francis X.; Schorfheide, Frank - In: Journal of econometrics 177 (2013) 2, pp. 320-342
Persistent link: https://www.econbiz.de/10010255140
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Fourier analysis for stock price forecasting : assumption and evidence
Stádník, Bohumil; Raudeliūnienė, Jurgita; … - In: Journal of business economics and management 17 (2016) 3, pp. 365-380
Persistent link: https://www.econbiz.de/10011517950