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Displaying results 1 to 3 of 3.

  1. Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
    Author: Herrmann, Klaus; Teis, Stefan; Yu, Weijun
    Published: 2014
    Publisher:  Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung, Erlangen

    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to... more

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 229 (2014,15)
    Inter-library loan:
    No inter-library loan

     

    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive pattern, a seasonal pattern, long-term memory and scheduled data releases. These components are analyzed in detail. Some evidence for two additional components, market microstrucuture events and unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the predictive power of the different components depends on sampling frequencies.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105257
    Series: IWQW discussion paper series ; 15/2014
    Subjects: Volatility; realized variance; intraday seasonality; volatility prediction; high-frequency data; tick data; fractional integration; sampling frequency
    Scope: Online-Ressource (29 S.), graph. Darst.
  2. Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
    Author: Barunik, Jozef; Vácha, Lukáš
    Published: 2014
    Publisher:  Univ., Kiel

    We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized... more

    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    EFinMaP
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    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 474 (16)
    Inter-library loan:
    No inter-library loan

     

    We introduce wavelet-based methodology for estimation of realized variance allowing its measurement in the time-frequency domain. Using smooth wavelets and Maximum Overlap Discrete Wavelet Transform, we allow for the decomposition of the realized variance into several investment horizons and jumps. Basing our estimator in the two-scale realized variance framework, we are able to utilize all available data and get feasible estimator in the presence of microstructure noise as well. The estimator is tested in a large numerical study of the finite sample performance and is compared to other popular realized variation estimators. We use different simulation settings with changing noise as well as jump level in different price processes including long memory fractional stochastic volatility model. The results reveal that our wavelet-based estimator is able to estimate and forecast the realized measures with the greatest precision. Our timefrequency estimators not only produce feasible estimates, but also decompose the realized variation into arbitrarily chosen investment horizons. We apply it to study the volatility of forex futures during the recent crisis at several investment horizons and obtain the results which provide us with better understanding of the volatility dynamics.

     
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    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102280
    Series: Finmap-working paper / Finmap Research Office ; 16
    Subjects: quadratic variation; realized variance; jumps; market microstructure noise; wavelets
    Scope: Online-Ressource (34 S.), graph. Darst.
  3. Leverage effect in energy futures
    Author: Kristoufek, Ladislav
    Published: 2014
    Publisher:  Univ., Kiel

    We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After... more

    Location:
    Universitätsbibliothek Kiel, Zentralbibliothek
    Signature:
    EFinMaP
    Inter-library loan:
    No inter-library loan

    Location:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 474 (17)
    Inter-library loan:
    No inter-library loan

     

    We propose a comprehensive treatment of the leverage effect, i.e. the relationship between returns and volatility of a specific asset, focusing on energy commodities futures, namely Brent and WTI crude oils, natural gas and heating oil. After estimating the volatility process without assuming any specific form of its behavior, we find the volatility to be long-term dependent with the Hurst exponent on a verge of stationarity and non-stationarity. To overcome such complication, we utilize the detrended cross-correlation and the detrending moving-average cross-correlation coefficients and we find the standard leverage effect for both crude oils and heating oil. For natural gas, we find the inverse leverage effect. Additionally, we report that the strength of the leverage effects is scale-dependent. Finally, we also show that none of the effects between returns and volatility is detected as the long-term cross-correlated one. These findings can be further utilized to enhance forecasting models and mainly in the risk management and portfolio diversification.

     
    Export to reference management software   RIS file
      BibTeX file
    Content information
    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/102281
    Series: Finmap-working paper / Finmap Research Office ; 17
    Subjects: quadratic variation; realized variance; jumps; market microstructure noise; wavelets
    Scope: Online-Ressource (23 S.), graph. Darst.