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Frequency of observation and the estimation of integrated volatility in deep and liquid financial markets
Chaboud, Alain P. (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work249.pdf?noframes=1 Novo okno

Izvleček
Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. We find that one can sample FX returns as frequently as once every 15 to 20 seconds without contaminating volatility estimates; bond returns may be sampled as frequently as once every 2 to 3 minutes on days without U.S. macroeconomic announcements, and as frequently as once every 40 seconds on announcement days. With a simple realized kernel estimator, the sampling frequencies can be increased to once every 2 to 5 seconds for FX returns and to about once every 30 to 40 seconds for bond returns. These sampling frequencies, especially in the case of FX returns, are much higher than those often recommended in the empirical literature on realized volatility in equity markets. The higher sampling frequencies for FX and bond returns likely reflects the superior depth and liquidity of these markets.

Jezik:Angleški jezik
Ključne besede:finančni trg, trg kapitala, vrednostni papirji, obveznice, devizni tečaji, likvidnost, vzorčenje, ocene, financial market, capital market, securities, bonds, exchange rate, liquidity, sampling, evaluation
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2008
Založnik:Bank for International Settlements, Monetary and Economic Department
Št. strani:46 str.
Kraj:Basel (Switzerland)
UDK:336.76
COBISS.SI-ID:18443494 Povezava se odpre v novem oknu
Število ogledov:461
Število prenosov:179
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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