Showing 101 - 110 of 859
We introduce a simple and intuitive approach of modeling and forecasting correlations for use in portfolio optimization. The model is composite in nature and consists of elements based on a bivariate realized volatility model. Importantly, our framework allows for volatility spill-overs between...
Persistent link: https://www.econbiz.de/10012896780
We consider the problem of deriving an empirical measure of daily integrated variance (IV) in the situation where high-frequency price data are unavailable for part of the day. We study three estimators in this context and characterize the assumptions that justify their use. We show that the...
Persistent link: https://www.econbiz.de/10012761960
This article formulates a bivariate point process to jointly analyze trade and quote arrivals. In microstructure models, trades may reveal private information that is then incorporated into new price quotes. This article examines the speed of this information flow and the circumstances that...
Persistent link: https://www.econbiz.de/10012762012
We examine moving average (MA) filters for estimating the integrated variance (IV) of a financial asset price in a framework where high-frequency price data are contaminated with market microstructure noise. We show that the sum of squared MA residuals must be scaled to enable a suitable...
Persistent link: https://www.econbiz.de/10012770760
We examine the impact of monetary policy on the Samp;P 500 using intraday data. The analysis shows an economically and statistically significant relationship between Samp;P 500 intraday returns and changes in the Fed funds target rate. The significance and magnitude of the response is dependent...
Persistent link: https://www.econbiz.de/10012772205
We study the empirical properties of realized volatility of the E-mini S&P 500 futures contract at various time scales, ranging from a few minutes to one day. Our main finding is that intraday volatility is remarkably rough and persistent. What is more, by further studying daily realized...
Persistent link: https://www.econbiz.de/10012967996
We uncover stylized facts of commodity futures price and volatility dynamics in the post-financialization period and find a factor structure in daily commodity volatility that is much stronger than the factor structure in returns. The common factor in commodity volatility relates to stock market...
Persistent link: https://www.econbiz.de/10012972752
An estimator of the ex-post covariation of log-prices under asynchronicity and microstructure noise is proposed. It uses the Cholesky factorization of the covariance matrix in order to exploit the heterogeneity in trading intensities to estimate the different parameters sequentially with as many...
Persistent link: https://www.econbiz.de/10012973570
In this paper we report results of 3- and 6-months ahead forecasts of Gross Domestic Product (GDP) of China. In total we use 124 predictors from various sources and dates ranging from 2000 through 2017. We use China specific macroeconomic time series data and a large number of predictor...
Persistent link: https://www.econbiz.de/10012859975
We introduce a multivariate estimator of financial volatility that is based on the theory of Markov chains. The Markov chain framework takes advantage of the discreteness of high-frequency returns. We study the finite sample properties of the estimation in a simulation study and apply it to...
Persistent link: https://www.econbiz.de/10012919202