Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Barndorff–Nielsen, Ole E.; Hansen, Peter Reinhard; Lunde, Asger; Shephard, Neil

doi:10.2139/ssrn.1154144

Cited by 250 publications

(422 citation statements)

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“…Since the setting defined in this paper requires positive definiteness of the variance proxy, we restrict our analysis on the range of proxies that meet this requirement. Note that, other volatility proxies can be used instead, such as the multivariate realized kernels (see Barndorff-Nielsen, Hansen, Lunde, and Shephard, 2008aand Barndorff-Nielsen, Hansen, Lunde, and Shephard, 2008b, Hansen and Lunde, 2006b, Zhou, 1996 or the range based covariance estimators (Brandt and Diebold, 2006). …”

Section: Dbekk(11)mentioning

confidence: 99%

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent

Rombouts

Violante

2013

Journal of Econometrics

126

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The ranking of multivariate volatility models is inherently problematic because when the unobservable volatility is substituted by a proxy, the ordering implied by a loss function may be biased with respect to the intended one. We point out that the size of the distortion is strictly tied to the level of the accuracy of the volatility proxy. We propose a generalized necessary and sufficient functional form for a class of non-metric distance measures of the Bregman type which ensure consistency of the ordering when the target is observed with noise. An application to three foreign exchange rates is provided

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Section: Dbekk(11)mentioning

confidence: 99%

On loss functions and ranking forecasting performances of multivariate volatility models

Laurent

Rombouts

Violante

2013

Journal of Econometrics

126

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“…For instance, higher spreads deteriorate borrowing capabilities and market confidence which simultaneously impact on consumption and investment. The way to ameliorate the effects of the crisis on the real economy is a current political debate but the recipes 15 to be put in place still need to be fully understood.…”

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confidence: 99%

“…We remove holidays and detect and remove outliers by applying a filter which is a modification of the procedure proposed in [14], implemented following the steps suggested by [15] ( p. 156). We summarize the procedure below.…”

mentioning

confidence: 99%

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Boffelli

Urga

2015

Journal of International Money and Finance

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This paper investigates the impact of macroannouncements, government bond auctions and rating actions on the 10-year government bond spreads for Belgium, France, Italy, the Netherlands, Spain with respect to Germany. Using a unique tick-by-tick dataset over 1/02/2009-05/31/2012, we identify the impact of the three drivers via jump and cojump detection procedures. Disentangling the pre-from the post-announcement effects, real economy and forward looking news releases from US and Euro area, country specific Spanish and German macroannouncements, and auctions hold in distressed countries such Italy and Spain have a statistically and economically significant effect.No role is played by rating actions.Keywords: Jumps, Cojumps,Government Bond Spreads, Macroannouncements, Government Bond Auctions, Rating Actions.J.E.L. Classification Numbers: C58, C12, H63, G24.Europe is under stress and integration among European countries seems more fragile than ever.Starting from the subprime crisis in 2007, markets are more aware of the differences between European countries, and this sentiment is reflected, amongst others, in increasing differentials of government bond yields. In 2008 and 2009, government bond spreads became sizable but it was in 5 2010 and 2011 that spreads substantially increase, reaching levels even higher than those experienced in the pre-Euro era. It was just after the famous Mario Draghi's "whatever it takes" in July 2012 that a more normal situation on government bond markets was restored. The European sovereign debt $ We wish to thank participants in the 12th Oxmetrics User Conference (Cass, 3-4 September 2012), in particular Siem Koopman, Sebastien Laurent, and Bill Lyons for useful suggestions. We thank Michael J. Flemming and Jan Novotny for having provided very useful comments on a previous version of the paper. The usual disclaimer applies. Special thanks to Morningstar, in particular to Richard Barden, for having made available the rich data set used in this paper. Simona Boffelli acknowledges financial support from the Centre for Econometric Analysis of Cass Business School.* Centre for Econometric Analysis, Faculty of Finance, Cass Business School, City University London, 106 Bunhill Row, London, EC1Y 8TZ, UK and Bergamo University, Italy. G.Urga@city.ac.uk, Tel: +44 (0)20 7040 8698, Fax: +44 (0)20 7040 8881. Preprint submitted to Journal of International Money and FinanceDecember 22, 2014 crisis involving, although at different extents, all the peripheral countries have questioned the much celebrated markets' self-regulatory power as well as the ability of policy makers and regulators to 10 adopt stability measures and stimulate economic growth. Thus, understanding which factors drive sovereign risk is particularly timely also for the macroeconomic consequences of the comovements associated to these factors. For instance, higher spreads deteriorate borrowing capabilities and market confidence which simultaneously impact on consumption and investment. The way to ameliorate the effects of th...

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“…In the simulation, we follow the setup of Barndorff-Nielsen et al (2011) and simulate a bivariate factor stochastic volatility model for X t,i , i = {1, 2} and t ∈ [0, 1] as…”

Section: Small Sample Performance Of the Proposed Estimatormentioning

confidence: 99%

Do Co-Jumps Impact Correlations in Currency Markets?

Baruník

Vácha

2016

SSRN Journal

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We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The proposed estimation framework is able to localize the co-jumps very precisely through wavelet coefficients and identify statistically significant co-jumps. Empirical findings reveal the different behaviors of co-jumps during Asian, European and U.S. trading sessions. Importantly, we document that co-jumps significantly influence correlation in currency markets.

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Multivariate Realised Kernels: Consistent Positive Semi-Definite Estimators of the Covariation of Equity Prices with Noise and Non-Synchronous Trading

Cited by 250 publications

References 53 publications

On loss functions and ranking forecasting performances of multivariate volatility models

On loss functions and ranking forecasting performances of multivariate volatility models

Macroannouncements, bond auctions and rating actions in the European government bond spreads

Do Co-Jumps Impact Correlations in Currency Markets?

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