Realized kernels in practice: trades and quotes
نویسندگان
چکیده
منابع مشابه
Trades and Quotes: A Bivariate Point Process
Recent empirical work has studied point processes of transactions in financial markets and observed clear time dependent patterns in these arrival times. However, these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information ...
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Recent empirical work has studied point processes of transactions in nan-cial markets and observed clear time dependent patterns in these arrival times. However these studies do not examine the timing of quoted price changes. This paper formulates a bivariate point process to jointly analyze transaction and quote arrivals. In microstructure models, transactions may reveal private information wh...
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We design adaptive realized kernels to estimate the integrated volatility in a framework that combines a stochastic volatility model with leverage effect for the effi cient price and a semiparametric microstructure noise model specified at the highest frequency. Some time dependence parameters of the noise model must be estimated before adaptive realized kernels can be implemented. We study the...
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We propose a composite realized kernel to estimate the ex-post covariation of asset prices. Composite realized kernels are a data efficient method where the covariance estimate is composed of univariate realized kernels to estimate variances and bivariate realized kernels to estimate correlations. We analyze the merits of our composite realized kernels in an ultra high dimensional environment, ...
متن کاملDynamics of Effective Quotes and Spreads between Consecutive Trades: a Real- Time Structural Model of Price Information
This paper develops a real-time structural model of price formation, and uses it to investigate the dynamics of effective quotes and bid-ask spreads between consecutive trades. There is some evidence that the effective bid-ask spreads increase over time when no orders arrive. The effective quotes are found to change over time when no orders arrive. The dynamics of bid and ask are different, and...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2009
ISSN: 1368-4221,1368-423X
DOI: 10.1111/j.1368-423x.2008.00275.x