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High Frequency Data (high + frequency_data)

Distribution by Scientific Domains
Business, Economics, Finance and Accounting100%

Selected Abstracts

Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

ECONOMIC NOTES, Issue 2 2001
Andrea Beltratti
We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark,US dollar for 1993 and 1996. The model performs well in terms of coherence with the theoretical aggregation properties of GARCH models, it is effective in terms of both forecasting ability and describing reactions to macroeconomic news. (J.E.L.: C14, C53, F31). [source]

Purchasing Power Parity Adjustment Speeds in High Frequency Data when the Equilibrium Real Exchange Rate is Proxied by a Deterministic Trend

THE MANCHESTER SCHOOL, Issue 2003
Ivan Paya
Rogoff suggested in 1996 that the dollar,yen real exchange rate represented a ,canonical' case of a trend in the equilibrium real exchange rate. The implied speed of adjustment of the dollar,yen real exchange rate is found to be substantially faster, with half-life shocks of less than 2 years, from estimates of a non-linear model which incorporates a deterministic trend proxying the equilibrium level. We also examine the power of unit root tests against smooth transition non-linear models which incorporate a deterministic trend and the robustness of such non-linear estimations using Monte Carlo and bootstrap simulations. [source]

Deterministic and Stochastic Methods for Estimation of Intra-day Seasonal Components with High Frequency Data

ECONOMIC NOTES, Issue 2 2001
Andrea Beltratti
We introduce a model for the analysis of intra-day volatility based on unobserved components. The stochastic seasonal component is essential to model time-varing intra-day effects. The model is estimated with high frequency data for Deutsche mark,US dollar for 1993 and 1996. The model performs well in terms of coherence with the theoretical aggregation properties of GARCH models, it is effective in terms of both forecasting ability and describing reactions to macroeconomic news. (J.E.L.: C14, C53, F31). [source]

Price discovery in electronic foreign exchange markets: The sterling/dollar market

THE JOURNAL OF FUTURES MARKETS, Issue 6 2010
Russell Poskitt
This study finds that GLOBEX has a marginally lower Hasbrouck, J. (1995) information share than Reuters D3000 in the electronic sterling/dollar foreign exchange market when returns are computed from high frequency data on either midquotes or transaction prices. However, GLOBEX's information share declines sharply when returns are computed from a mixture of GLOBEX transaction prices and Reuters D3000 midquotes. This helps explain why prior studies using this latter methodology report relatively low information shares for GLOBEX in the yen/dollar market. Variations in GLOBEX's information share on an intraday basis can be explained by variations in relative liquidity, spreads and price volatility. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 30:590,606, 2010 [source]