[PDF] Top 20 Evaluating Volatility Forecasts with Ultra High Frequency Data—Evidence from the Australian Equity Market

... of volatility forecasts is to find an accurate benchmark proxy for ex - post ...ian equity market ultra-high-frequency data to construct an unbiased ex - post ... See full document

... and volatility is negative, but the unconditional correlation is positive due to lead and lag ...between volatility and past and future returns using high-frequency aggregate equity ... See full document

... The Australian Electricity Mar- ket Operator matches the aggregated supply curve from the market with their estimate of market demand to produce a price ...differ from other commodity ... See full document

... result from using K BR = (3 R V 2/2 R Q )1^3 n 1/3, where R V is the realized variance, R V = (A^zoiu)2 and RQ is the realized quarticity, RQ = § $3 ...low frequency (15 minute) returns, which gives S = 24 ... See full document

... of high volatility during one day, which may correspond to the morning and afternoon active trading hours in Asia, Europe and the ...recall from the Monte Carlo evidence in the previous ... See full document

... spot volatility with high-frequency data and we explicitly consider the effects of market microstructure ...integrated volatility measurement with ...a data-driven ... See full document

... other market participants, they can respond quickly to changing market circumstances, which in turn leads to large quantities of orders being entered at great ...other market participants are ... See full document

... The purpose of this paper is to investigate the components of the bid-ask spread in a pure limit order book market 1 taking into account the duration 2 between consecutive trades. The literature on the components ... See full document

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... of volatility between stock price series and private loans. Volatility in private credit for equity investments influence volatility in stock price index and vice ...only from lagged ... See full document

... cycle forecasts for Germany, ...Sentiment. From the methodological point of view, the main innovation lies in disentangling ‘good’ macroeconomics news from ‘bad’ news, and, simultaneously, ... See full document

... on market quality in earlier time ...latency from 2 minutes pre-upgrade to 20 seconds ...hybrid market system, where trades could take place on the trading floor or ...Hybrid market reduced ... See full document

... the frequency at which the same BitCoin is used to purchase goods and services within a given time span cannot not be straightforwardly ...These data are extracted from ...daily data on the ... See full document

... the market maker may account for asymmetric information in the quote-setting ...that market microstructure models rooted in Markov processes, such as in Amaro de Matos and Ros´ ario (2002), may deserve more ... See full document

... ASX Best is a new generation trading application for a multi-market environment supporting smart order routing and additional functionality. ASX Best is co-located in ASX’s data centre – the ASX ... See full document

... the data was diurnally adjusted to remove any day-of-the-week effects, or intraday seasonality likely to distort the estimation ...the data exhibits intra-daily seasonality with higher trading activity at ... See full document

... The curves on p.12 show the change of the plate current as a function of the displacement of electrodes with respect to the position of the loop of the voltage wave expressed in percent [r] ... See full document

... (TAQ) data supplied by the ...arise from the adoption of the new ...the data do not span a long time period, there are thousands of observations per day for an active stock which increases our ... See full document

... and equity return volatility, since asset pricing models assume the risk-free rate to be a key factor for equity ...monthly data for the UK spanning 1833:01 to 2018:07, we test whether ... See full document

... We also proceed to check the importance of higher-order moments of the durations and residuals for density and interval forecasting. An important fea- ture of the ACD and log-ACD models is that the dynamics of the ... See full document