-
Frequency of observation and the estimation of integrated volatility in deep and liquid financial marketsChaboud, Alain P.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.Vrsta gradiva - knjiga ; neleposlovje za odrasleZaložništvo in izdelava - Basel (Switzerland) : Bank for International Settlements, Monetary and Economic Department, 2008Jezik - angleškiCOBISS.SI-ID - 18443494
Avtor
Chaboud, Alain P.
Drugi avtorji
Bank for International Settlements |
Monetary and Economic Dept
Zbirka
BIS working papers
Teme
Foreign exchange market |
Statistical methods |
Securities |
United States |
Bond market |
Capital market |
Liquidity (Economics) |
finančni trg |
trg kapitala |
vrednostni papirji |
obveznice |
devizni tečaji |
likvidnost |
vzorčenje |
ocene |
financial market |
capital market |
securities |
bonds |
exchange rate |
liquidity |
sampling |
evaluation |
evaluation
![loading ... loading ...](themes/default/img/ajax-loading.gif)
Vnos na polico
Trajna povezava
- URL:
Faktor vpliva
Dostop do baze podatkov JCR je dovoljen samo uporabnikom iz Slovenije. Vaš trenutni IP-naslov ni na seznamu dovoljenih za dostop, zato je potrebna avtentikacija z ustreznim računom AAI.
Leto | Faktor vpliva | Izdaja | Kategorija | Razvrstitev | ||||
---|---|---|---|---|---|---|---|---|
JCR | SNIP | JCR | SNIP | JCR | SNIP | JCR | SNIP |
Baze podatkov, v katerih je revija indeksirana
Ime baze podatkov | Področje | Leto |
---|
Povezave do osebnih bibliografij avtorjev | Povezave do podatkov o raziskovalcih v sistemu SICRIS |
---|---|
Chaboud, Alain P. | ![]() |
Izberite prevzemno mesto:
Prevzem gradiva po pošti
Obvestilo
Gesla v Splošnem geslovniku COBISS
Izbira mesta prevzema
Mesto prevzema | Status gradiva | Rezervacija |
---|
Prosimo, počakajte trenutek.