Universität zu Köln

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

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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:	Creators Email ORCID ORCID Put Code Bekierman, Jeremias UNSPECIFIED UNSPECIFIED UNSPECIFIED Gribisch, Bastian UNSPECIFIED UNSPECIFIED UNSPECIFIED
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:	Keywords Language REALIZED VOLATILITY; VARIANCE; LEVERAGE Multiple languages Business, Finance; Economics Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/56384