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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

R 2 and idiosyncratic risk are not interchangeable

Li, Bin; Rajgopal, Shivaram; Venkatachalam, Mohan - In: The accounting review : a publication of the American … 89 (2014) 6, pp. 2261-2295

Persistent link: https://www.econbiz.de/10010469131

Disentangled jump-robust realized covariances and correlations with non-synchronous prices

Vander Elst, Harry; Veredas, David - 2014

Persistent link: https://www.econbiz.de/10010418993

Noisy news and exchange rates : a SVAR approach

Redl, Chris - In: Journal of international money and finance 58 (2015), pp. 150-171

Persistent link: https://www.econbiz.de/10011478251

A note on the behavior of Chinese commodity markets

Fan, John Hua; Todorova, Neda - In: Finance research letters 38 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10012485380

Sensitivity analysis of market and stock returns by considering positive and negative jumps

Theodosiadou, Qurania; Polimenis, Vassilis; Tsaklidis, … - In: Journal of risk finance : the convergence of financial … 17 (2016) 4, pp. 456-472

Persistent link: https://www.econbiz.de/10011572490

Estimating the price impact of trades in a high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - In: Journal of banking & finance 61 (2015) 2, pp. 205-224

Persistent link: https://www.econbiz.de/10011585573

Fake news

Brigida, Matt; Pratt, William R. - In: The North American journal of economics and finance : a … 42 (2017), pp. 564-573

Persistent link: https://www.econbiz.de/10011938199

Forecasting the realized volatility in the Chinese stock market : further evidence

Pu, Wang; Chen, Yixiang; Ma, Feng - In: Applied economics 48 (2016) 31/33, pp. 3116-3130

Persistent link: https://www.econbiz.de/10011616957

Modeling volatility risk in equity options market : a statistical approach

Dobi, Doris; Avellaneda, Marco - In: Options - 45 years since the publication of the …, (pp. 257-292). 2023

Persistent link: https://www.econbiz.de/10014366655

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