Download or read book Three Essays on the Econometric Analysis of High frequency Data written by Peter Malec and published by . This book was released on 2013 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Four Essays on the Econometric Analysis of High frequency Order Data written by Ruihong Huang and published by . This book was released on 2012 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior written by and published by . This book was released on 2008 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modern Econometric Analysis written by Olaf Hübler and published by Springer Science & Business Media. This book was released on 2007-04-29 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this book leading German econometricians in different fields present survey articles of the most important new methods in econometrics. The book gives an overview of the field and it shows progress made in recent years and remaining problems.

Download or read book Three Essays on the Econometric Methods for High dimensional Economic and Financial Data Using Factor Structures written by Yuning Li and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This note is part of Quality testing.

Download or read book Econometrics of Financial High Frequency Data written by Nikolaus Hautsch and published by Springer Science & Business Media. This book was released on 2011-10-12 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The availability of financial data recorded on high-frequency level has inspired a research area which over the last decade emerged to a major area in econometrics and statistics. The growing popularity of high-frequency econometrics is driven by technological progress in trading systems and an increasing importance of intraday trading, liquidity risk, optimal order placement as well as high-frequency volatility. This book provides a state-of-the art overview on the major approaches in high-frequency econometrics, including univariate and multivariate autoregressive conditional mean approaches for different types of high-frequency variables, intensity-based approaches for financial point processes and dynamic factor models. It discusses implementation details, provides insights into properties of high-frequency data as well as institutional settings and presents applications to volatility and liquidity estimation, order book modelling and market microstructure analysis.

Download or read book Econometric Forecasting and High frequency Data Analysis written by Roberto S. Mariano and published by World Scientific. This book was released on 2008 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important book consists of surveys of high-frequency financial data analysis and econometric forecasting, written by pioneers in these areas including Nobel laureate Lawrence Klein. Some of the chapters were presented as tutorials to an audience in the Econometric Forecasting and High-Frequency Data Analysis Workshop at the Institute for Mathematical Science, National University of Singapore in May 2006. They will be of interest to researchers working in macroeconometrics as well as financial econometrics. Moreover, readers will find these chapters useful as a guide to the literature as well as suggestions for future research.

Download or read book High Frequency Financial Econometrics written by Yacine Aït-Sahalia and published by Princeton University Press. This book was released on 2014-07-21 with total page 683 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive introduction to the statistical and econometric methods for analyzing high-frequency financial data High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Download or read book Three essays on econometric analysis of functional time series written by and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on High Frequency Financial Econometrics written by and published by . This book was released on 2015 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt: "It has long been demonstrated that continuous-time methods are powerful tools in financial modeling. Yet only in recent years, their counterparts in empirical analysis-high frequency econometrics-began to emerge with the availability of intra-day data and relevant statistical tools. This dissertation contributes to the development of this emerging area in two directions. On the one hand, it develops new econometric tools to identify different types of interdependence structure among asset state processes. Chapter 2 examines the co-movement of asset price and its volatility, known as leverage effect. Different from previous work, this chapter allows price and volatility processes to have both continuous and discontinuous stochastic components that may contribute to the overall leverage effect. The second type is about the interdependence between price process and its jump intensity, known as self-excitation. Chapter 3 extends the definition of self-excitation in jumps accordingly, proposes statistical tests to detect its presence in a discretely observed path at high frequency, and derives the tests' asymptotic properties. On the other hand, Finance theory implies a set of constraints on the dynamics of an option price process and that of its underlying processes. Yet empirical option pricing models may either implicitly ignore some theoretical constraints or impose a possibly misspecified parametric structure on it. Chapter 4 fill this gap, by proposing a statistical procedure that utilizes information from the time series of the underlying processes to test the specification of a given option pricing model. "--Samenvatting auteur.

Download or read book Three Essays in Monetary and Financial Economics written by Liang Ma and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three essays in the field of monetary and financial economics. Specifically, we use high-frequency financial data to study monetary policies with a focus on the information effect, namely, that some of the interest rate movements around central bank announcements are not policy-driven, but are results of the market becoming aware of the central bank's view about future economic prospects. Understanding the role played by the information effect will help us apprehend monetary policy implications in both normal times and extraordinary situations. Chapter 1 evaluates the impact of unconventional monetary policy in the newly developed instrumental variable structural Vector Autoregression (VAR) framework. In the current low interest rate environment, central banks must resort to using unconventional monetary policies, such as forward guidance and quantitative easing, to flight recessions. To empirically evaluate the effectiveness of these unconventional policies, we need to rely on the clean policy shock. A prominent concern is that the often used high-frequency interest rate surprises not only reflect unexpected policy changes, but also contain the information effect. We contribute to the literature by using a heteroskedasticity identification approach, taking advantage of changes in the relative dominance of economic shocks around different macroeconomic announcements. Analysis based on clean policy shocks suggests that the unconventional policies successfully aided the recovery in the U.S. More importantly, we show that the information effect, while it may introduce bias, is rather modest when it comes to estimating the real impact of unconventional monetary policies. Chapter 2 studies the stock return pattern after the U.S. Federal Open Market Committee (FOMC) announcement. This research is motivated by recent literature that documents stock returns drifts, both before and after FOMC announcements, according to policy rate surprises. Indeed, research has shown that the information contained in the central bank announcement is multifaceted: its current monetary policy stances (monetary policy news) and news about future economic prospects (non-monetary policy news). Our contribution is to combine these two strands of literature. To the best of our knowledge, no study has looked at stock market reactions to the non-monetary news stemming from policy announcements. We identify both good and bad news events using a combination of sign restriction with high-frequency financial prices. The novel finding is that following bad FOMC announcements, that is the market interpreted the Fed announcements as revealing negative information about the economy, we observe significant positive stock returns in a 20-day period. We call this the ``post-FOMC drift.'' Further analysis suggests that the drift is likely caused by relatively heightened risks associated with bad announcements, although the drift is consistent with market overreactions as well. Moreover, the post FOMC drift is a market-wide phenomenon and can be exploited in an easy-to-implement trading strategy with a historical record of earning 40\% of the annual equity premium. In Chapter 3, we explore the channels through which the FOMC announcements affect the financial market. While much of the existing literature measures the surprise components with only changes in policy rates (surrounding the announcement), we contribute to the existing literature by taking a broader view through examining unexpected changes in longer-term yields, corporate credit spreads, and inflation expectations (a proxy for growth prospects), using high-frequency financial data. Through a regression analysis, our findings show that these additional surprises provide orthogonal information and sharply increase the goodness of fit in explaining stock returns around FOMC announcements, with the inclusion of inflation expectations having the biggest contribution. The important role of inflation expectation suggests that the current literature, which uses stock prices together with nominal rates to disentangle the information contents of central bank announcements, may be too limited in the scope of information it uses.

Download or read book Econometric Analysis of High frequency Market Microstructure written by Z. Merrick Li and published by . This book was released on 2019 with total page 187 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis introduces new econometric tools to analyse high-frequency financial data emerged from high-frequency trading. The analysis is based on the consensus that asset prices at high-frequencies have a permanent component that reflects the fundamental value, and a transitory microstructure noise induced by market imperfection. While the classic economic theory predicts that the fundamental value follows a semimartingale, the microstructure noise, however, exhibits rich dynamics. Chapter 2 develops econometric tools to analyse the integrated volatility of the fundamental value and the dynamic properties of the microstructure noise in high-frequency data under dependent noise. Specifically, a finite sample analysis reveals the essential roles played by the finite sample bias in applications. A two-step approach is proposed accordingly to refine the finite sample performance. Chapter 3 introduces a simple and intuitive measure of the microstructure noise under a general nonparametric setting. The new econometric techniques provide two liquidity measures that gauge the instantaneous and average bid-ask spread with potentially autocorrelated order flows. While being flexible with respect to the autocorrelation structures, the new estimators only employ the transaction prices, thus do not require any knowledge of the order flows. Chapter 4 further extends the method introduced in Chapter 3 to the joint estimation of arbitrary finite moments of microstructure noise using high-frequency data, under a general setting that allows for irregular observation schemes and nonstationary, serially dependent noise.

Download or read book Three Essays in the Econometrics of Time Series written by Chung-Hua Shen and published by . This book was released on 1991 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Econometrics written by Chaojun Li (Economist) and published by . This book was released on 2020 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: Regime-switching models have been applied extensively to study how time-series patterns change across different underlying economic states, such as boom and recession, high-volatility and low-volatility financial market environments, and active and passive monetary and fiscal policies. Among various models with regime switching, endogenous regime-switching models have the most general form of the regime process by allowing the determination of regimes to depend on the realizations of observations. The first chapter, jointly written with Yan Liu, proves consistency and asymptotic normality of the maximum likelihood estimator of the endogenous regime-switching models. The dynamic pattern of a time series may change abruptly as the underlying economic environment shifts and, at the same time, may also vary smoothly with other macroeconomic variables. The Markov-switching state-space model accommodates the two types of changes. For this class of models, it is computationally infeasible to calculate the exact likelihood function through the Kalman filter because of the path dependence on regimes. Approximation is widely applied in practice by truncating the path of regimes, but the statistical properties of the estimator based on approximation have not been examined. The second chapter fills the gap and shows consistency and asymptotic normality of the approximated maximum likelihood estimator. In the "big data" era, the large-dimensional factor model proves useful in extracting information from high-dimensional time series, by assuming a small number of factors can summarize the co-movement. In the third chapter, I propose a new method to estimate large-dimensional factor models with two types of structural breaks--in factor loadings and in the number of factors. Such breaks, if undetected, can lead to the estimation of pseudo factors instead of true factors. Compared to the existing method in the literature, the proposed method is computationally faster. Moreover, the estimated break ratios converge at a faster rate.

Download or read book Three Essays on Wavelet Analysis of Time Series Econometrics written by Jin Lee and published by . This book was released on 2000 with total page 354 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Time Series Analysis and Neural Networks in Econometrics written by Gerhard Fechteler and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Econometrics of Moment Conditions in Time Series written by Stanislav Anatolyev and published by . This book was released on 2004 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: