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Testing for Mutually Exciting Jumps and Financial Flights in High Frequency Data

Dungey, Mardi H. - 2019

We propose a new nonparametric test to identify mutually exciting jumps in high frequency data. We derive the asymptotic properties of the test statistics and show that the tests have good size and reasonable power in finite sample cases. Using our mutual excitation tests, we empirically...

Persistent link: https://www.econbiz.de/10012903285

Change-Point Detection in the Covariance Structure of Multivariate Volatility Models

Barassi, Marco R. - 2017

We propose semi-parametric CUSUM tests to detect a change point in the covariance structure of non-linear multivariate models with dynamically evolving volatilities and correlations. The asymptotic distributions of the proposed statistics are derived under mild conditions. We discuss the...

Persistent link: https://www.econbiz.de/10012945121

Nonparametric Inference of Jump Autocorrelation

Kwok, Simon - 2020

Understanding the jump dynamics of market prices is important for asset pricing and risk management. Despite their analytical tractability, parametric models may impose unrealistic restrictions on the temporal dependence structure of jumps. In this paper, we introduce a nonparametric inference...

Persistent link: https://www.econbiz.de/10012824843

Efficient Estimation of a Multivariate Multiplicative Volatility Model

Hafner, Christian - 2010

We propose a multivariate generalization of the multiplicative volatility model of Engle and Rangel (2008), which has a …

Persistent link: https://www.econbiz.de/10013148178

Shortcomings of a parametric VaR approach and nonparametric improvements based on a non-stationary return series model

Gürtler, Marc; Rauh, Ronald - Department Wirtschaftswissenschaften, Technische … - 2009

A non-stationary regression model for financial returns is examined theoretically in this paper. Volatility dynamics …

Persistent link: https://www.econbiz.de/10009646422

News Arrival, Time-Varying Jump Intensity, and Realized Volatility : Conditional Testing Approach

Erdemlioglu, Deniz; Yang, Xiye - 2022

press releases. Unlike intensity jumps, volatility jumps fail to explain the variation in news-induced realized volatility … exploits the behavior of a time-varying stochastic intensity and allows us to assess how intensely stock market reacts to news … increases in realized volatility and arrive when differences-in-opinion among market participants are large at times of FOMC …

Persistent link: https://www.econbiz.de/10013406297

Persistent Impact of Macroeconomic Announcements in Financial Market Data

Boitout, Nicolas - 2015

great deal of academic attention in efforts to quantify market responses in terms of volatility and jumps. We investigate … caused by the next release of the same macroeconomic value. We measure this impact by means of both post-event volatility …

Persistent link: https://www.econbiz.de/10013029402

Long memory and volatility dynamics in the US dollar exchange rate

Caporale, Guglielmo Maria; Gil-Alana, Luis A. - 2010

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

Persistent link: https://www.econbiz.de/10010271381

Nonlinear relationship between exchange rate volatility and economic growth

Phiri, Andrew - 2018

In this paper, we challenge the traditional assumption of a linear relationship between exchange rate volatility and … volatility positively and significantly influences economic growth when growth in government spending is below 6 percent. Above … this 6 percent threshold, volatility exerts an insignificant effect on economic growth. In light of the adoption of a free …

Persistent link: https://www.econbiz.de/10012157206

Drivers of exchange rate dynamics in selected CIS countries : evidence from a FAVAR analysis

Dreger, Christian; Fidrmuc, Jarko - 2009

We investigate the likely sources of exchange rate dynamics in selected CIS countries (Russia, Kazakhstan, Ukraine, Kyrgyzstan, Azerbaijan, and Moldova) over the past decade (1999-2008). The analysis is based on country VAR models augmented by a regional common factor structure (FAVAR model)....

Persistent link: https://www.econbiz.de/10011387304