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Hautsch, Nikolaus; Huang, Ruihong - 2009

Despite their importance in modern electronic trading, virtually no systematic empirical evidence on the market impact of incoming orders is existing. We quantify the short-run and long-run price effect of posting a limit order by proposing a high-frequency cointegrated VAR model for ask and bid...

Persistent link: https://www.econbiz.de/10010270722

Model-Free Impulse Responses

Jordà, Òscar - 2003

This paper introduces methods for computing impulse response functions that do not require specification and estimation of the unknown dynamic multivariate system itself. The central idea behind these methods is to estimate flexible local projections at each period of interest rather than...

Persistent link: https://www.econbiz.de/10010274322

Inference for impulse responses

Jordà, Òscar - 2007

Poor identification of individual impulse response coefficients does not necessarily mean that an impulse response is … identification. These methods are universal and do not depend on how the impulse responses are estimated. An empirical application …

Persistent link: https://www.econbiz.de/10010274337

Bayesian inference on structural impulse response functions

Plagborg-Møller, Mikkel - In: Quantitative Economics 10 (2019) 1, pp. 145-184

I propose to estimate structural impulse responses from macroeconomic time series by doing Bayesian inference on the Structural Vector Moving Average representation of the data. This approach has two advantages over Structural Vector Autoregressions. First, it imposes prior information directly...

Persistent link: https://www.econbiz.de/10012215369

Information Spillover, Volatility and the Currency Markets for the Binary Choice Model

Omrane, Walid Ben; Hafner, Christian M. - In: International Econometric Review (IER) 1 (2009) 1, pp. 50-62

We use an impulse response methodology to analyse the effects of U.S. macroeconomic news announcements on the volatilities of three major exchange rates (Euro, Pound Sterling and Yen). Our data consist of 5 minute returns on exchange rates as well as the times of news announcements. In the...

Persistent link: https://www.econbiz.de/10012610925

Is the Price Cap for Gas Useful? Evidence from European Countries

Ravazzolo, Francesco; Rossini, Luca - 2023

Since Russia's invasion of Ukraine, many countries have pledged to end or restrict their oil and gas imports to curtail Moscow's revenues and hinder its war effort. Thus, the European ministers agreed to trigger a cap on the gas price. To detect the importance of the price cap for gas, we...

Persistent link: https://www.econbiz.de/10014451714

The impact on forecasts and impulse responses of restricting drift in a Vector Autoregresion

Landon-Lane, John - 2001

Inference on the long-run properties of a Vector Autoregression (VAR) consisting wholly of I(1) variables are made using Bayesian methods. In particular, the implications on the forecast and impulse response function distributions of directly estimating and restricting the drift parameters of...

Persistent link: https://www.econbiz.de/10010318363

Limit order flow, market impact and optimal order sizes: Evidence from NASDAQ TotalView-ITCH data

Hautsch, Nikolaus; Huang, Ruihong - 2011

In this paper, we provide new empirical evidence on order submission activity and price impacts of limit orders at NASDAQ. Employing NASDAQ TotalView-ITCH data, we find that market participants dominantly submit limit orders with sizes equal to a round lot. Most limit orders are canceled almost...

Persistent link: https://www.econbiz.de/10010281582

Infinite-variance, alpha-stable shocks in monetary SVAR

Hannsgen, Greg - 2010

The process of constructing impulse-response functions (IRFs) and forecast-error variance decompositions (FEVDs) for a structural vector autoregression (SVAR) usually involves a factorization of an estimate of the error-term variance-covariance matrix V. Examining residuals from a monetary VAR,...

Persistent link: https://www.econbiz.de/10010286524

Robust inference in models identified via heteroskedasticity

Lewis, Daniel J. - 2018

Identification via heteroskedasticity exploits differences in variances across regimes to identify parameters in … simultaneous equations. I study weak identification in such models, which arises when variances change very little or the variances …, propose two tests to detect weak identification, and develop nonconservative methods for robust inference on a subset of the …

Persistent link: https://www.econbiz.de/10012144719