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  1. Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures
    Author: Herrmann, Klaus; Teis, Stefan; Yu, Weijun
    Published: 2014
    Publisher:  Univ., Inst. für Wirtschaftspolitik und Quantitative Wirtschaftsforschung, Erlangen

    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to... more

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signature:
    DS 229 (2014,15)
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    The adjusted measure of realized volatility suggested in [20] is applied to high- frequency orderbook and transaction data of DAX and BUND futures from EU- REX in order to identify the drivers of intraday volatility. Four components are identified to have predictive power: an auto-regressive pattern, a seasonal pattern, long-term memory and scheduled data releases. These components are analyzed in detail. Some evidence for two additional components, market microstrucuture events and unscheduled news, is given. Depending on the sampling frequency we estimate that between one and two thirds of the variation in realized volatility can be predicted by a simple linear model based on the components identified. It is shown how the predictive power of the different components depends on sampling frequencies.

     
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/105257
    Series: IWQW discussion paper series ; 15/2014
    Scope: Online-Ressource (29 S.), graph. Darst.
  2. Infinite dimensional affine term structure models under incomplete information
    Author: Yu, Weijun
    Published: Dezember 2017

    Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a... more

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    Universitätsbibliothek Braunschweig
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    UB Weimar
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    Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a continuous Markov diffusion process to be affine is given. Based on the extended theory, two affine term structure models are introduced and the existence and uniqueness of the two models are studied. The second part concentrates on a non-linear filtering problem with infinite dimensional observations and the Kushner-Stratonovich equation under the infinite dimensional observation setting is derived. Finally, the obtained results are applied to study the Kalman-Bucy filter with infinite dimensional observations. It is proved that the filter has a Gaussian distribution and the evolution equations of the mean and the covariance of the filter are deduced from the Kushner-Stratonovich equation

     
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    Volltext (kostenfrei)
    Volltext (kostenfrei)
    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    FRUB-opus-14218
    Subjects: Zinsstruktur; Stochastischer Prozess; Filter <Stochastik>;
    Scope: 1 Online-Ressource (X, 145 Seiten)
    Notes:

    Dissertation, Albert-Ludwigs-Universität Freiburg, 2017