کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099794 | 1377032 | 2008 | 38 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We model high-frequency trading processes by a multivariate multiplicative error model that is driven by component-specific observation driven dynamics as well as a common latent autoregressive factor. The model is estimated using efficient importance sampling techniques. Applying the model to 5Â min return volatilities, trade sizes and trading intensities from four liquid stocks traded at the NYSE, we show that a subordinated common process drives the individual components and captures a substantial part of the dynamics and cross-dependencies of the variables. Common shocks mainly affect the return volatility and the trade size. Moreover, we identify effects that capture rather genuine relationships between the individual trading variables.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 12, December 2008, Pages 3978-4015
Journal: Journal of Economic Dynamics and Control - Volume 32, Issue 12, December 2008, Pages 3978-4015
نویسندگان
Nikolaus Hautsch,