[BOOK][B] Measuring and forecasting financial market volatility using high-frequency data
K Bannouh - 2013 - repub.eur.nl
This dissertation consists of three studies on the use of intraday asset price data for accurate
measurement and forecasting of financial market volatility. Chapter 2 proposes a refined …
measurement and forecasting of financial market volatility. Chapter 2 proposes a refined …
Expected and unexpected bond excess returns: Macroeconomic and market microstructure effects
C Fricke - 2012 - econstor.eu
This paper shows that order flow determines future bond excess returns. This effect cannot
be captured by macroeconomic or forward rate information. To understand how these …
be captured by macroeconomic or forward rate information. To understand how these …
Corporate bond risk premia
C Speck - Available at SSRN 2235168, 2013 - papers.ssrn.com
This paper investigates the holding period risk premia of US corporate and Treasury bonds.
Using excess return regressions, two priced risk factors are derived from yield and …
Using excess return regressions, two priced risk factors are derived from yield and …
[PDF][PDF] The Study, Modelling and Implications of Realised Volatility for Chinese Stock Index Futures and Spot Markets
Q Zhang - 2017 - pure.port.ac.uk
Realised volatility is a recently developed measure (Andersen et al., 2001), and it has
attracted the attention of numerous economic researchers. This thesis aims to explore how …
attracted the attention of numerous economic researchers. This thesis aims to explore how …