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  1. Diffusion index model specification and estimation using mixed frequency datasets
    Author: Kim, Kihwan; Swanson, Norman R.
    Published: 2013
    Publisher:  Dep. of Economics, Rutgers, the State Univ. of New Jersey, New Brunswick, NJ

    In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 66 (2013,15)
    Inter-library loan:
    No inter-library loan

     

    In this chapter, we discuss the use of mixed frequency models and diffusion index approximation methods in the context of prediction. In particular, select recent specification and estimation methods are outlined, and an empirical illustration is provided wherein U.S. unemployment forecasts are constructed using both classical principal components based diffusion indexes as well as using a combination of diffusion indexes and factors formed using small mixed frequency datasets. Preliminary evidence that mixed frequency based forecasting models yield improvements over standard fixed frequency models is presented.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/94239
    Series: Working papers / Department of Economics, Rutgers, the State University of New Jersey ; 2013-15
    Subjects: forecasting; diffusion index; mixed frequency; recursive estimation; Kalman filter
    Scope: Online-Ressource (24 S.)
  2. Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
    Author: Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael
    Published: 2013
    Publisher:  Swiss Finance Inst., Genève

    We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters... more

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    Location:
    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    Keine Speicherung
    Inter-library loan:
    No inter-library loan

     

    We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices can be altered by both the size and direction of trades, and the effects of buy-initiated and sell-initiated trades are different. We estimate this model using tick-by-tick data for 12 large-capitalization stocks traded on the Euronext-Paris Bourse. We find that, at tick frequency, the overnight return, the intraday jumps, and the continuous innovations represent approximately 7%, 8.5%, and 36.7% of the total variation of stock returns. The microstructure model explains on average 47.7% of the total variation. Once jumps are filtered and parameters are estimated in real time, we also find that the price impact of trades is symmetric on average. However, the price of highly liquid stocks with a large proportion of sell-initiated orders tends to be more sensitive to buy trades, whereas the price of less liquid stocks with a large proportion of buy-initiated orders tends to be more sensitive to sell trades

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    Series: Research paper series / Swiss Finance Institute ; 13,47
    Subjects: Microstructure; jumps; order flow; price impact; noise; volatility; Kalman filter; particle filter
    Scope: Online-Ressource (22 S.), graph. Darst.
  3. Price formation and intertemporal arbitrage within a low-liquidity framework
    empirical evidence from European natural gas markets
    Author: Nick, Sebastian
    Published: 2013
    Publisher:  EWI, Univ., Cologne

    In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 5 (2013,14)
    Inter-library loan:
    No inter-library loan

     

    In this study, the informational efficiency of the European natural gas market is analyzed by empirically investigating price formation and arbitrage efficiency between spot and futures markets. Econometric approaches are specified that explicitly account for nonlinearities and the low liquidityframework of the considered gas hubs. The empirical results reveal that price discovery takes place on the futures market, while the spot price subsequently follows the futures market price. Furthermore, there is empirical evidence of significant market frictions hampering intertemporal arbitrage. UK’s NBP seems to be the hub at which arbitrage opportunities are exhausted most efficiently, although there is convergence in the degree of intertemporal arbitrage efficiency over time at the hubs investigated.

     
    Export to reference management software   RIS file
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/92969
    Series: EWI working paper ; 13/14
    Subjects: natural gas market; informational efficiency; liquidity; nonlinear causality; threshold error correction; Kalman filter
    Scope: Online-Ressource (33 S.), graph. Darst.