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In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a...
Persistent link: https://www.econbiz.de/10011807359
This paper performs a thorough statistical examination of the time-series properties of the market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies on the widespread consensus that the VIX is a barometer to the overall market sentiment as to what...
Persistent link: https://www.econbiz.de/10011807372
There is a consensus that the proportion of suicides committed with a firearm is the best proxy for gun ownership prevalence. Cerqueira et al. (2018) exploit the socioeconomic characteristics of suicide victims in order to develop a new and more refined proxy. It is based on the fixed effects of...
Persistent link: https://www.econbiz.de/10012628682
This paper investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock...
Persistent link: https://www.econbiz.de/10010284130
Persistent link: https://www.econbiz.de/10012282316
Persistent link: https://www.econbiz.de/10012410066
In this paper, we propose a class of ACD-type models that accommodates overdispersion, intermittent dynamics, multiple regimes, and sign and size asymmetries in financial durations. In particular, our functional coefficient autoregressive conditional duration (FC-ACD) model relies on a...
Persistent link: https://www.econbiz.de/10005534088
Persistent link: https://www.econbiz.de/10011129132
Persistent link: https://www.econbiz.de/10011129389
O objetivo desse trabalho é estimar a medida dinâmica VNET de profundidade de mercado para ações brasileiras a partir de dados de transação. VNET mede a diferença no número de ações compradas e vendidas no intervalo de tempo necessário para que o preço se movesse além de um...
Persistent link: https://www.econbiz.de/10011129824