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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970
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Model-based estimation of high frequency jump diffusions with microstructure noise and stochastic volatility
Bos, Charles S. - 2008
Persistent link: https://www.econbiz.de/10003645209
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Realized volatility
Andersen, Torben (contributor); Benzoni, Luca (contributor) - 2008
Persistent link: https://www.econbiz.de/10003786282
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Classical and Bayesian analysis of unvariate and multivariate stochastic volatility models
Liesenfeld, Roman; Richard, Jean-François - In: Econometric reviews 25 (2006) 2/3, pp. 335-360
Persistent link: https://www.econbiz.de/10003355771
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Stochastic volatility models with long memory
Hurvich, Clifford M.; Soulier, Philippe - In: Handbook of financial time series, (pp. 345-354). 2009
Persistent link: https://www.econbiz.de/10003833970
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Continuous time approximations to GARCH and stochastic volatility models
Lindner, Alexander M. - In: Handbook of financial time series, (pp. 481-496). 2009
Persistent link: https://www.econbiz.de/10003834175
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Empirically based modeling in financial economics and beyond, and spurious stylized facts
Bassler, Kevin E.; Gunaratne, Gemunu H.; McCauley, Joseph L. - In: International review of financial analysis 17 (2008) 5, pp. 767-783
Persistent link: https://www.econbiz.de/10003792190
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Conditional Gauss-Hermite filtering with application to volatility estimation
Singer, Hermann - 2008
Persistent link: https://www.econbiz.de/10003795449
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Stochastic volatility models for ordinal valued time series with application to finance
Müller, Gernot (contributor); Czado, Claudia (contributor) - 2006
In this paper we introduce two stochastic volatility models where the response variable takes on only finite many …
Persistent link: https://www.econbiz.de/10003422189