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2007-09-05Diskussionspapier DOI: 10.18452/4071
Capturing Common Components in High-Frequency Financial Time Series
dc.contributor.authorHautsch, Nikolaus
dc.date.accessioned2017-06-15T23:31:15Z
dc.date.available2017-06-15T23:31:15Z
dc.date.created2007-09-21
dc.date.issued2007-09-05
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4723
dc.description.abstractWe introduce a multivariate multiplicative error model which is driven by component- specific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects in the processes of high-frequency return volatilities, trade sizes and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling. Analyzing five minutes data from four liquid stocks traded at the New York Stock Exchange, we find that volatilities, volumes and intensities are driven by idiosyncratic dynamics as well as a highly persistent common factor capturing most causal relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading volume rather than the trading intensity.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectMultiplicative error modelseng
dc.subjectcommon factoreng
dc.subjectefficient importance samplingeng
dc.subjectintraday trading processeng
dc.subject.ddc330 Wirtschaft
dc.titleCapturing Common Components in High-Frequency Financial Time Series
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-10080032
dc.identifier.doihttp://dx.doi.org/10.18452/4071
local.edoc.pages48
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2007
dc.title.subtitleA Multivariate Stochastic Multiplicative Error Model
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2007,52

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