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Tag Archives: High-Frequency Data
Forecasting Beta Using Conditional Heteroskedastic Models
By Andrew Bentley Conventional measurements of equity return volatility rely on the asset’s previous day closing price to infer the current level of volatility and fail to incorporate information concerning intraday influntuctuations. Realized measures of volatility, such as the realized variance, are able to integrate intraday information by utilizing high-frequency data to form a very […]
Examination of Time-Variant Asset Correlations Using High-Frequency Data
By Mingwei Lei Drawing motivation from the 2007-2009 global financial crises, this paper looks to further examine the potential time-variant nature of asset correlations. Specifically, high frequency price data and its accompanying tools are utilized to examine the relationship between asset correlations and market volatility. Through further analyses of this relationship using linear regressions, this […]
Beta Estimation Using High Frequency Data
By Angela Ryu Using high frequency stock price data in estimating nancial measures often causes serious distortion. It is due to the existence of the market microstructure noise, the lag of the observed price to the underlying value due to market friction. The adverse eect of the noise can be avoided by choosing an appropriate […]
