Private information and high-frequency stochastic volatility

Studies in Nonlinear Dynamics and Econometrics

Volumn 8, Issue 1, 2004, Pages

  Kelly, David L ^a   Steigerwald, Douglas G ^b  

^a UNIVERSITY OF MIAMI   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 14844348495     PISSN: 15583708     EISSN: 10811826     Source Type: Journal    
DOI: 10.2202/1558-3708.1167     Document Type: Article

References (30)

1. Andersen, T. (1996): "Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility" Journal of Finance, 51, 169-204.
2. Bollerslev, T. R. Engle and D. Nelson (1993): "ARCH Models" in Handbook of Econometrics, Volume 4, Amseterdam: North-Holland.
3. Blume, M. and M. Goldstein (1997): "Quotes, Order Flow, and Price Discovery" Journal of Finance, 52, 221-44.
4. Brock, W. and B. LeBaron, (1996): "A Dynamic Structural Model for Stock Return Volatility and Trading Volume" Review of Economics and Statistics, 78, 94-110.
5. Clark, P. (1973): "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices" Econometrica 41, 135-159.
6. Den Haan, W. and Spear, S. (1998): "Volatility Clustering in Real Interest Rates: Theory and Evidence" Journal of Monetary Economics, 41, 431-53.
7. Easley, D., and M. O'Hara (1992): "Time and the Process of Security Price Adjustment" Journal of Finance, 47, 577-605.
8. Easley, D., N. Kiefer, and M. O'Hara (1993): "One Day in the Life of a Very Common Stock" Review of Financial Studies, 10, 805-35.
9. Easley, D., N. Kiefer, M. O'Hara, and J. Paperman (1996): "Liquidity, Information, and Infrequently Traded Stocks" Journal of Finance, 51, 1405-1436.
10. Engle, R., and Ng, V., and Rothschild, M. (1990): "Asset Pricing With a Factor-ARCH Covariance Structure: Empirical Estimates For Treasury Bills" Journal of Econometrics, 45, 213-37.
11. Engle, R. and Russell, J. (1998): "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data" Econometrica, 66, 1127-62.
12. Epps, T. (1975): "Security Price Changes and Transaction Volumes: Theory and Evidence" American Economic Review, 65, 586-597.
13. French, D. and R. Roll (1986): "Stock Return Variances: The Arrival of Information and the Reaction of Traders" Journal of Financial Economics, 17, 5-26.
14. Gallant, R., D. Hsieh, and G. Tauchen (1991): "On Fitting a Recalcitrant Series: The pound/dollar Exchange Rate, 1974-1983" in W. Barnett, J. Powell, and G. Tauchen eds., Nonparametric and Semiparametric Methods in Econometrics and Statistics, Cambridge: Cambridge University, 199-240.
15. Ghysels, E., A. Harvey and E. Renault (1996): "Stochastic Volatility" in G. Maddala and C. Rao eds., Handbook of Statistics, Volume 14: Statistical Methods in Finance, Amsterdam: North-Holland, 119-91.
16. Goodhart, C. and M. O'Hara (1997): "High Frequency Data in Financial Markets: Issues and Applications" Journal of Empirical Finance, 4, 73-114.
17. Glosten, L. and P. Milgrom (1985): "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders" Journal of Financial Economics, 14, 71-100.
18. Harris, L. (1986): "A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns" Journal of Financial Economics, 16, 99-117.
19. Hausman, J., A. Lo and A. MacKinlay (1992): "An Ordered Probit Analysis of Transaction Stock Price Changes" Journal of Financial Economics, 31, 319-379.
20. Hasbrouck, J. (1988): "Trades, Quotes, and Information," Journal of Financial Economics, 22, 229-52.
21. Huffman, G. (1987): "A Dynamic Equilibrium Model of Asset Prices and Transaction Volume" Journal of Political Economy, 95, 138-159.
22. Kelly, D. and D. Steigerwald (2001): "Private Information and High-Frequency Stochastic Volatility", web manuscript.
23. Laffont, J. and E. Maskin (1990): "The Efficient Market Hypothesis and Insider Trading on the Stock Market" Journal of Political Economy, 98, 70-93.
24. Lange, S. (1998): "Modeling Asset Market Volatility in a Small Market: Accounting for Non-synchronous Trading Effects," Journal of International Financial Markets, Institutions and Money, 9, 1-18.
25. Owens, J. and D. Steigerwald (2003): "Inferring Information Frequency and Quality" manuscript, U.C. Santa Barbara.
26. Shorish, J. and Spear, S. (1996): "Shaking the Tree: An Agency-Theoretic Model of Asset Pricing" Technical Report 1996-E1, Graduate School of Industrial Administration, Carnegie Mellon University.
27. Steigerwald, D. (1997): "Mixture Models and Conditional Heteroskedasticity" manuscript, U.C. Santa Barbara.
28. Tauchen, G. and M. Pitts (1983): "The Price Variability-Volume Relationship on Speculative Markets" Econometrica, 51, 485-505.
29. Tauchen, G., H. Zhang, and M. Liu (1996): quot;Volume, Volatility, and Leverage: A Dynamic Analysis" Journal of Econometrics, 74, 177-208.
30. Timmermann, A. (2001): "Structural Breaks, Incomplete Learning, and Stock Prices" Journal of Business and Economic Statistics, 19, 299-314.