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Modeling High-Frequency Non-Homogeneous Order Flows by Compound Cox Processes

Chertok, Andrey - 2014

A micro-scale model is proposed for the evolution of a limit order book in modern high-frequency trading applications. Within this model, order flows are described by doubly stochastic Poisson processes (also called Cox processes) taking account of the stochastic character of the intensities of...

Persistent link: https://www.econbiz.de/10013060874

Spectral Volume Models : High-Frequency Periodicities in Intraday Trading Activities

Wu, Lintong; Zhang, Ruixun; Dai, Yuehao - 2022

We develop spectral volume models to systematically estimate, explain, and exploit the high-frequency periodicity in intraday trading activities using Fourier analysis. The framework consistently recovers periodicities at specific frequencies in three steps, despite their low signal-to-noise...

Persistent link: https://www.econbiz.de/10014239413

Trend and Cycle in Bond Premia

Piazzesi, Monika - 2009

Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …

Persistent link: https://www.econbiz.de/10013158770

A Theoretical Foundation for the Nelson and Siegel Class of Yield Curve Models

Krippner, Leo - 2011

Yield curve models within the Nelson and Siegel (hereafter NS) class have proven very popular in finance and macrofinance, but they lack a theoretical foundation. In this article, I show how the Level, Slope, and Curvature components common to all NS models arise explicitly from low-order Taylor...

Persistent link: https://www.econbiz.de/10013120885

Affine Bond Pricing with a Mixture Distribution for Interest Rate Time-Series Dynamics

Rasmussen, Torben Beedholm - 2010

Starting from the discrete-time a ne term structure model by Dai, Le & Singleton (2006), this paper proposes a Radon-Nikodym derivative which implies that factors follow a mixture distribution under the physical measure. The model thus maintains attractive features of an affine relation between...

Persistent link: https://www.econbiz.de/10013147078

Yield curve momentum

Sihvonen, Markus - 2021

I analyze time series momentum along the Treasury term structure. Past bond returns predict future returns both due to … autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily … due to autocorrelation in yield changes rather than autocorrelation in bond carry and can largely be captured using a …

Persistent link: https://www.econbiz.de/10012665285

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

Persistent link: https://www.econbiz.de/10015408438

Outliers Detection, Correction of Financial Time-Series Anomalies and Distributional Timing for Robust Efficient Higher-Order Moment Asset Allocations

Maillet, Bertrand B. - 2009

We propose a new methodology for abnormal return detection and correction, and evaluate the economic impacts of outliers on asset allocations with higher-order moments (Cf. Jurczenko et al., 2008). Indeed, extreme returns and outliers greatly affect empirical higher-order moment estimations (Cf....

Persistent link: https://www.econbiz.de/10013159253

Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors

Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132

We study fluctuations in stock prices using a framework derived from the present value model augmented with a macroeconomic factor. The fundamental value is derived as the expected present discounted value of broad dividends that include, in addition to traditional cash dividends, other payouts...

Persistent link: https://www.econbiz.de/10011555939

Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility

Dufour, Jean-Marie - 2011

theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …

Persistent link: https://www.econbiz.de/10013128856