Similar Search Results

The impact of macroeconomic news on exchange rate volatility

Laakkonen, Helinä - 2004

and European macroeconomic news on the volatility of USD/EUR 5-minute returns was tested by using the Flexible Fourier … Form method.The results were consistent with earlier studies.Macroeconomic news increased volatility significantly, and … volatility was re-confirmed in this study.The announcements were also divided into two categories, the first containing the news …

Persistent link: https://www.econbiz.de/10012147922

Discretized Time and Conditional Duration Modelling for Stock Transaction Data

Brännäs, Kurt; Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2003

of news effects. No evidence of asymmetric responses to news about prices and spreads is found. …

Persistent link: https://www.econbiz.de/10005651936

STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION

Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006

interpretation in terms of news effects. No evidence of asymmetric responses to news about prices and spreads is found. <p> Paper [2 … indicate that the value of order book information is short-term. <p> Paper [4] This paper studies the impact of news … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …

Persistent link: https://www.econbiz.de/10005651956

Statistical Properties of Forward Libor Rates

Alexander, Carol; Lvov, Dimitri - Henley Business School, University of Reading - 2003

historical forward rates are used to calibrate the lognormal forward rate model - as advocated by Hull and White (1999, 2000), Longstaff, Santa Clara and Schwartz (1999), Rebonato (1999a,b,c), Rebonato and Joshi (2001) and many others - a Libor yield curve needs to be fit to the available data...

Persistent link: https://www.econbiz.de/10005558300

Testing for Jumps in a Discretely Observed Price Process with Endogenous Sampling Times

Li, Yifan; Nolte, Ingmar; Nolte (Lechner), Sandra; Yu, … - 2021

We propose a new nonparametric test to determine whether finite-activity jumps are present in a discretely observed price process. For a univariate Itô semimartingale, we introduce the concept of censored increments for observations recursively sampled at exit times with respect to a symmetric...

Persistent link: https://www.econbiz.de/10013321639

Assessment of Uncertainty in High Frequency Data : The Observed Asymptotic Variance

Mykland, Per A. - 2016

The availability of high frequency financial data has generated a series of estimators based on intra-day data, improving the quality of large areas of financial econometrics. However, estimating the standard error of these estimators is often challenging. The root of the problem is that...

Persistent link: https://www.econbiz.de/10013006101

Realized Volatility When Sampling Times are Possibly Endogenous

Li, Yingying - 2013

for the Realized Volatility in a general endogenous time setting. We also establish a central limit theorem for the …

Persistent link: https://www.econbiz.de/10013095254

The Impacts of Futures Introduction on Spot Market Volatility : Evidence from the Bitcoin Market

Zhang, Chuanhai; Ma, Huan; ARKORFUL, GIDEON BRUCE; Peng, Zhe - 2021

The impact of Bitcoin futures introduction on the underlying Bitcoin volatility has been a controversial topic … the impacts of Bitcoin futures trading on spot market volatility in the short and long run. Using exponential GARCH model …, we introduce a dummy in the variance equation to capture the changes in the volatility before and after the introduction …

Persistent link: https://www.econbiz.de/10013215325

Market Instability and Technical Trading at High Frequency : Evidence from NASDAQ Stocks

Erdemlioglu, Deniz; Petitjean, Mikael; Vargas, Nicolas - 2021

. While the literature has widely shown that exogenous news releases trigger these jumps, very little is known about the …. Our results support the view that the explanations for intraday market instability are not limited to news releases …

Persistent link: https://www.econbiz.de/10014088061

Jumps in Equilibrium Prices and Market Microstructure Noise

Lee, Suzanne S. - 2012

Asset prices observed in financial markets combine equilibrium prices and market microstructure noise. In this paper, we study how to tell apart large shifts in equilibrium prices from noise using high frequency data. We propose a new nonparametric test which allows us to asymptotically remove...

Persistent link: https://www.econbiz.de/10013115585