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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10010303678
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10010270808
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009
We introduce a regularization and blocking estimator for well-conditioned high-dimensional daily covariances using high …
Persistent link: https://www.econbiz.de/10008477173
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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 … microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real …
Persistent link: https://www.econbiz.de/10010256970
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An improved two-step regularization scheme for spot volatility estimation
Sanfelici, S.; Ogawa, S. - Facoltà di Economia, Università degli Studi di Parma - 2008
the presence of the so-called microstructure noise. In [16] a scheme based on the technique of multi-step regularization …
Persistent link: https://www.econbiz.de/10005772839
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Covariance estimation and dynamic asset allocation under microstructure effects via Fourier methodology
Elvira, Mancino Maria; Sanfelici, Simona - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2009
We analyze the properties of different estimators of multivariate volatilities in the presence of microstructure noise … microstructure effects; further we prove the positive semi-definiteness of the estimated covariance matrix. The in sample and … the Fourier covariance estimation methodology over other estimators in the presence of market microstructure noise from …
Persistent link: https://www.econbiz.de/10008568412
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Forecasting the Volatility of Nikkei 225 Futures
Asai, Manabu; McAleer, Michael - 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and...
Persistent link: https://www.econbiz.de/10011662515
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Forecasting the volatility of Nikkei 225 futures
Asai, Manabu; McAleer, Michael - 2017 - Revised: January 2017
For forecasting volatility of futures returns, the paper proposes an indirect method based on the relationship between futures and the underlying asset for the returns and time-varying volatility. For volatility forecasting, the paper considers the stochastic volatility model with asymmetry and...
Persistent link: https://www.econbiz.de/10011590424
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Estimating Stochastic Volatility Models using Prediction-based Estimating Functions
Lunde, Asger; Brix, Anne Floor - School of Economics and Management, University of Aarhus - 2013
.i.d. market microstructure (MMS) noise is also investigated. First, the impact of MMS noise on the parameter estimates from the …
Persistent link: https://www.econbiz.de/10010851259
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Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange
Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014
We explore intraday transaction records from NASDAQ OMX Commodities Europe from January 2006 to October 2013. We analyze empirical results for a selection of existing realized measures of volatility and incorporate them in a Realized GARCH framework for the joint modeling of returns and realized...
Persistent link: https://www.econbiz.de/10010945126