Bekierman, Jeremias and Gribisch, Bastian (2021). A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns. J. Financ. Econom., 19 (3). S. 496 - 531. OXFORD: OXFORD UNIV PRESS. ISSN 1479-8417
Full text not available from this repository.Abstract
We propose a mixed frequency stochastic volatility model for intraday returns. To account for long-memory type of dependence patterns we introduce a long-run component that changes daily and a short-run component that captures the remaining intraday volatility dynamics. We analyze the model's stochastic properties and extend it to capture leverage effects and overnight return information. The model is estimated by simulated maximum likelihood using efficient importance sampling. We apply the model to 30-min returns of 12 stocks. The results show that the model successfully accounts for the complex dynamic and distributional properties of asset returns both on the intraday and the daily frequency.
Item Type: | Journal Article | ||||||||||||
Creators: |
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URN: | urn:nbn:de:hbz:38-563841 | ||||||||||||
DOI: | 10.1093/jjfinec/nbz021 | ||||||||||||
Journal or Publication Title: | J. Financ. Econom. | ||||||||||||
Volume: | 19 | ||||||||||||
Number: | 3 | ||||||||||||
Page Range: | S. 496 - 531 | ||||||||||||
Date: | 2021 | ||||||||||||
Publisher: | OXFORD UNIV PRESS | ||||||||||||
Place of Publication: | OXFORD | ||||||||||||
ISSN: | 1479-8417 | ||||||||||||
Language: | English | ||||||||||||
Faculty: | Unspecified | ||||||||||||
Divisions: | Unspecified | ||||||||||||
Subjects: | no entry | ||||||||||||
Uncontrolled Keywords: |
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URI: | http://kups.ub.uni-koeln.de/id/eprint/56384 |
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