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Unexpected volatiltiy and intraday serial correlation
[Zeitschriftenartikel]
Abstract We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by une... mehr
We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The impact of predictable volatility is instead found to be negative (LeBaron effect). Our results are robust to microstructure noise, and they confirm the leading economic theories on price formation.... weniger
Klassifikation
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Methode
Theorieanwendung
Freie Schlagwörter
Volatility; Serial correlation; Variance ratio; High-frequency data
Sprache Dokument
Englisch
Publikationsjahr
2009
Seitenangabe
S. 465-475
Zeitschriftentitel
Quantitative Finance, 9 (2009) 4
DOI
https://doi.org/10.1080/14697680802452050
Status
Postprint; begutachtet (peer reviewed)
Lizenz
PEER Licence Agreement (applicable only to documents from PEER project)