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Angelini, Giovanni; Fanelli, Luca; Neri, Luca - 2024

that generate target impulse response functions (IRFs) that change across volatility regimes, even strong, exogenous … properly accounted for. In such cases, it is essential to explicitly incorporate the shifts in unconditional volatility in … and sufficient rank condition that leverages moments implied by changes in volatility, the target IRFs can be point …

Persistent link: https://www.econbiz.de/10014495778

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

An important issue in the analysis of cross-sectional dependence which has received renewed interest in the past few years is the need for a better understanding of the extent and nature of such cross dependencies. In this paper we focus on measures of cross-sectional dependence and how such...

Persistent link: https://www.econbiz.de/10009530816

Exponent of cross-sectional dependence : estimation and inference

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2012

Persistent link: https://www.econbiz.de/10009488893

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Bibinger, Markus - 2016

We propose a new estimator for the spot covariance matrix of a multi-dimensional continuous semi-martingale log asset price process which is subject to noise and non-synchronous observations. The estimator is constructed based on a local average of block-wise para- metric spectral covariance...

Persistent link: https://www.econbiz.de/10013005821

Estimating Turkish stock market returns with APT model : cointegration and vector error correction

Alp, Ozge Sezgin; Gökgöz, Fazıl; Küçükkocaoğlu, … - In: Economic review : journal of economics & business 14 (2016) 1, pp. 7-19

Multifactor financial models are of great importance in analyzing practical asset prices. As an alternative to CAPM, Arbitrage Pricing Theory (APT), developed by Ross (1976), describes the expected returns on any financial asset with respect to macroeconomic factors. There are limited researches...

Persistent link: https://www.econbiz.de/10012012458

Exponent of cross-sectional dependence for residuals

Bailey, Natalia; Kapetanios, George; Pesaran, M. Hashem - 2018

In this paper we focus on estimating the degree of cross-sectional dependence in the error terms of a classical panel data regression model. For this purpose we propose an estimator of the exponent of cross-sectional dependence denoted by α; which is based on the number of non-zero pair-wise...

Persistent link: https://www.econbiz.de/10011900761

Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model

Chen, Xiaohong - 2016

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

Persistent link: https://www.econbiz.de/10012996695

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

Persistent link: https://www.econbiz.de/10013110862

Exponent of Cross-Sectional Dependence : Estimation and Inference

Bailey, Natalia - 2012

Persistent link: https://www.econbiz.de/10013111367

Modelling high-frequency volatility and liquidity using multiplicative error models

Hautsch, Nikolaus (contributor); … - 2008

In this paper, we study the dynamic interdependencies between high-frequency volatility, liquidity demand as well as …. Liquidity is causal for future volatility but not vice versa. Furthermore, trade sizes are negatively driven by past trading … ; volatility ; liquidity ; high-frequency data …

Persistent link: https://www.econbiz.de/10003727673