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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
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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
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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
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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
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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
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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
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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
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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
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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
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Spot variance path estimation and its application to high frequency jump testing
Bos, Charles S.; Janus, Paweł; Koopman, Siem Jan - 2009
This paper considers spot variance path estimation from datasets of intraday high frequency asset prices in the presence of diurnal variance patterns, jumps, leverage effects and microstructure noise. We rely on parametric and nonparametric methods. The estimated spot variance path can be used...
Persistent link: https://www.econbiz.de/10011379469