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Asymptotic theory of range-based multipower variation

Christensen, Kim; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2011

variation and draw jump-robust inference about the diffusive volatility component, when a high-frequency record of asset prices … prices – is shown to be biased when the price process contains jumps. We outline how the new theory can be applied to remove …

Persistent link: https://www.econbiz.de/10009385750

Realised Quantile-Based Estimation of the Integrated Variance

Christensen, Kim; Oomen, Roel; Podolskij, Mark - School of Economics and Management, University of Aarhus - 2009

. Asymptotically, the quantile-based realised variance is immune to finite activity jumps and outliers in the price series, while in …

Persistent link: https://www.econbiz.de/10005004429

The impact of jumps on the stylized facts of returns and volatility

Izzeldin, Marwan; Shi, Peiran - Department of Economics, Management School - 2013

We investigate, using a number of econometric tools, the impact of jumps on the stylised facts of returns and … volatility. We look at 100 stocks, representing 10 sectors over the period 2000-2010. We find that jumps had little or no impact … effects work only via the continuous component of realised variance. Jumps have no memory and stocks with higher jump activity …

Persistent link: https://www.econbiz.de/10011165265

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - Finance Research Centre, Oxford University - 2008

We propose a multivariate realised kernel to estimate the ex-post covariation of log-prices. We show this new consistent estimator is guaranteed to be positive semi-definite and is robust to measurement noise of certain types and can also handle non-synchronous trading. It is the first estimator...

Persistent link: https://www.econbiz.de/10005212102

Measuring downside risk - realised semivariance

Shephard, Neil; Kinnebrock, Silja; Barndorff-Neilsen, Ole E. - Department of Economics, Oxford University - 2008

We propose a new measure of risk, based entirely on downward moves measured using high frequency data. Realised semivariances are shown to have important predictive qualities for future market volatility. The theory of these new measures is spelt out, drawing on some new results from...

Persistent link: https://www.econbiz.de/10005047802

Multivariate realised kernels: consistent positive semi-definite estimators of the covariation of equity prices with noise and non-synchronous trading

Barndorff-Nielsen, Ole E.; Hansen, Peter Reinhard; … - Economics Group, Nuffield College, University of Oxford - 2008

Persistent link: https://www.econbiz.de/10005730261

A cost-benefit analysis of capital requirements for the Danish economy

Mikkelsen, Jakob Guldbæk; Pedersen, Jesper - 2017

We analyse the costs and benefits of increasing capital requirements for Danish banks. Costs can be close to 0 if banks suspend dividend payments for a period of time as banks accumulate capital and if investors' required return falls. The latter implies that the Modigliani-Miller effect is...

Persistent link: https://www.econbiz.de/10012059470

Modeling dynamic correlation and volatility of the Visegrad Group fuel markets

Krawiec, Monika; Borkowski, Bolesław; Shachmurove, Yochanan - In: Contemporary Economics 17 (2023) 4, pp. 424-442

The paper focuses on investigating the correlation and volatility of fuel markets in four countries of the Visegrad region, namely Hungary, the Czech Republic, Poland, and Slovakia. The primary objective of the paper is to explore regional fuel markets and retail prices in these countries by...

Persistent link: https://www.econbiz.de/10014544488

Financial crisis implications on the fiscal and monetary policy of eu countries with econometric modeling support

Ilieva, Marijana - In: Journal of Contemporary Economic and Business Issues 7 (2020) 1, pp. 41-56

The financial crisis that hit Europe in 2008 affected many spheres of the EU members' economies. It had drastic effects on the countries' economic activity, consumer spending, banking system liquidity, as well as negative impacts on interest rates and budget balances of the EU member states....

Persistent link: https://www.econbiz.de/10014553732

Time-varying granger causality tests for applications in global crude oil markets: A study on the DCC-MGARCH Hong test

Caporina, Massimiliano; Costola, Michele - 2021

Analysing causality among oil prices and, in general, among financial and economic variables is of central relevance in applied economics studies. The recent contribution of Lu et al. (2014) proposes a novel test for causality- the DCC-MGARCH Hong test. We show that the critical values of the...

Persistent link: https://www.econbiz.de/10012648568