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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-frequency data. Using the Barndorff-Nielsen, Hansen, Lunde, and Shephard (2008a) kernel estimator, we estimate the covariance matrix block-wise and regularize it. A data-driven...

Persistent link: https://www.econbiz.de/10003909174

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and …

Persistent link: https://www.econbiz.de/10010256970

Queue imbalance as a one-tick-ahead price predictor in a limit order book

Gould, Martin; Bonart, Julius - In: Market microstructure and liquidity 2 (2016) 2, pp. 1-35

Persistent link: https://www.econbiz.de/10011588243

The behavior of high-frequency traders under different market stress scenarios

Megarbane, Nicolas; Saliba, Pamela; Lehalle, Charles-Albert - In: Market microstructure and liquidity 3 (2017) 3/4, pp. 1-54

Persistent link: https://www.econbiz.de/10011988891

Trading liquidity and funding liquidityin fixed income markets: implications of market microstructure invariance

Kyle, Albert S.; Obižaeva, Anna - 2020

Persistent link: https://www.econbiz.de/10012494216

The information content of a limit order book : the case of an FX market

Kozhan, Roman; Salmon, Mark H. - In: Journal of financial markets 15 (2012) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10009356615

An empirical analysis of the Shanghai and Shenzhen limit order books

Chung, Huimin; Gao, Cheng; Lu, Jie; Mizrach, Bruce Marshall - In: Economic modelling 34 (2013), pp. 37-41

Persistent link: https://www.econbiz.de/10010360623

Informativeness and influence of limit order books on order submissions in electronic continuous auction markets

Chang, Matthew C.; Wu, Rebecca Chung-fern - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 70-97

Persistent link: https://www.econbiz.de/10010204875

The information content of the thinner order book following tick size reduction : evidence from the Taiwan Stock Exchange

Chien, Cheng-yi; Liao, Tzu-hsiang; Lee, Hsiu-chuan - In: Managerial finance 40 (2014) 3, pp. 218-233

Persistent link: https://www.econbiz.de/10010256740

An international trend in market design : endogenous effects of limit order book transparency on volatility, spreads, depth and volume

Pham, Thu Phuong; Westerholm, Joakim - In: Journal of international financial markets, … 27 (2013), pp. 202-223

Persistent link: https://www.econbiz.de/10010411743