nep-mst New Economics Papers
on Market Microstructure
Issue of 2006‒07‒15
three papers chosen by
Thanos Verousis
University of Wales (Aberystwyth)

  1. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models By Francois-Éric Racicot; Raymond Théoret; Alain Coen
  2. The Coordination Channel of Foreign Exchange Intervention By Stefan Reitz; M.P Taylor
  3. Modeling the strategic trading of electricity assets By Derek W. Bunn; Fernando S. Oliveira

  1. By: Francois-Éric Racicot (Département des sciences administratives, Université du Québec (Outaouais) et LRSP); Raymond Théoret (Département de stratégie des affaires, Université du Québec (Montréal)); Alain Coen (Département de stratégie des affaires, Université du Québec (Montréal))
    Abstract: A very promising literature has been recently devoted to the modeling of ultra-high-frequency (UHF) data. Our first aim is to develop an empirical application of Autoregressive Conditional Duration GARCH models and the realized volatility to forecast future volatilities on irregularly spaced data. We also compare the out sample performances of ACD GARCH models with the realized volatility method. We propose a procedure to take into account the time deformation and show how to use these models for computing daily VaR.
    Keywords: Realized volatility, Ultra High Frequency GARCH, time deformation, financial markets, Daily VaR.
    JEL: C22 C53 G14
    Date: 2006–07–06
  2. By: Stefan Reitz (Economics Deutsche Bundesbank); M.P Taylor
    Keywords: foreign exchange intervention; market microstructure; nonlinear mean reversion
    JEL: C10 F31 F41
    Date: 2006–07–04
  3. By: Derek W. Bunn (London Business School); Fernando S. Oliveira (Operational Research and Systems Warwick Business School)
    Keywords: Competitive advantage, computational learning, auctions, asset trading, simulation, electricity markets
    JEL: L14 C72 C73 L94
    Date: 2006–07–04

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