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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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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 …-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …
Persistent link: https://www.econbiz.de/10010256970
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
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Simple factor realized stochastic volatility models
Kawakatsu, Hiroyuki - In: Journal of time series econometrics 15 (2023) 1, pp. 79-110
Persistent link: https://www.econbiz.de/10014288373
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Long-Run Wavelet-Based Correlation for Financial Time Series
Conlon, Thomas - 2018
The asset allocation decision often relies upon correlation estimates arising from short-run data. Short-run correlation estimates may, however, be distorted by frictions. In this paper, we introduce a long-run wavelet-based correlation estimator, distinguishing between long-run common behavior...
Persistent link: https://www.econbiz.de/10012917953
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Estimating Financial Networks by Realized Interdependencies : A Restricted Autoregressive Approach
Caporin, Massimiliano; Erdemlioglu, Deniz; Nasini, Stefano - 2021
We develop a network-based vector autoregressive approach to uncover the interactions amongfinancial assets by integrating multiple realized measures based on high-frequency data. Undera restricted parameter structure, our approach allows the capture of cross-sectional and time ependencies...
Persistent link: https://www.econbiz.de/10013233982
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Copula-based factor models for multivariate asset returns
Ivanov, Eugen; Min, Aleksey; Ramsauer, Franz - In: Econometrics : open access journal 5 (2017) 2, pp. 1-24
Recently, several copula-based approaches have been proposed for modeling stationary multivariate time series. All of them are based on vine copulas, and they differ in the choice of the regular vine structure. In this article, we consider a copula autoregressive (COPAR) approach to model the...
Persistent link: https://www.econbiz.de/10011654435
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Spectral estimation of covolatility from noisy observations using local weights
Bibinger, Markus; Reiß, Markus - 2011
We propose localized spectral estimators for the quadratic covariation and the spot covolatility of diffusion processes which are observed discretely with additive observation noise. The eligibility of this approach to lead to an appropriate estimation for time-varying volatilities stems from an...
Persistent link: https://www.econbiz.de/10009388782
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Inference for multi-dimensional high-frequency data : equivalence of methods, central limit theorems, and an application to conditional independence testing
Bibinger, Markus; Mykland, Per A. - 2013
inference for a broad class of multivariate models and linear functions of the recorded components. This paves the way to tests …
Persistent link: https://www.econbiz.de/10009684676
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News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach
Erdemlioglu, Deniz; Yang, Xiye - 2022
This paper introduces new econometric tests to identify stochastic intensity jumps in high-frequency data. Our approach … S&P 500 exchange-traded fund (ETF) data, we find strong evidence for the presence of intensity jumps surrounding the … scheduled Federal Open Market Committee (FOMC) policy announcements. Intensity jumps occur very frequently, trigger sharp …
Persistent link: https://www.econbiz.de/10013406297