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  Price discovery based on cointegration and bootstrap
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Ophav

 Ophav:
Lind Pedersen, Mads1, Forfatter
Rahbek, Anders2, Vejleder
Tilknytninger:
1Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7001              
2Økonomisk Institut, Det Samfundsvidenskabelige Fakultet, Københavns Universitet, København, Danmark, diskurs:7014              
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Indhold

Ukontrollerede emneord: econometrics, price discovery, CVAR, bootstrap, bond
 Abstract: In empirical finance literature, is well documented that financial variables display time-varying volatility, and hence is driven by heteroskedastic innovations.

When heteroskedasticity is present, Rahbek et. al. (2010) shows that conventional estimation results for the cointegrated VAR-model, do not hold in general. As a solution to the problem of heteroskedasticity, Rahbek et. al. (2010) proposes an alternative estimation procedure based on bootstrapping.

In this thesis I present an empirical application of both the conventional estimation procedure and the bootstrapping procedure.

Using high frequency data obtained from the Danish government bond market, I find that the conventional rank test statistic is unreliable.

More specifically I show, that depending on the choice of estimation procedure, there exist either one or two common prices in the Danish government bond market on September 2nd. 2013. In continuation of this, I find that the choice of estimation procedure may have important implications, for conclusions regarding the impact across bonds, on the overall government bond market. Strategies based on the conventional estimation procedure may therefore imply unnecessary risks.

A time consistency check of the results, show that the conclusions based on the different estimation procedures may coinside, indicating that the conventional rank test statistic is only potentially unrealiable.
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Filer

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Speciale-1.pdf (Hovedtekst)
Bemærkninger:
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Tilgængelighed:
Offentlig
Mime-type / størrelse:
application/pdf / 21MB
Copyright dato:
2014-07-28
Copyright information:
De fulde rettigheder til dette materiale tilhører forfatteren.
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Basal

Bogmærk denne post: https://diskurs.kb.dk/item/diskurs:59910:1
 Type: Speciale
Alternativ titel: - The Danish Government Bond Market
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Detaljer

Sprog: English - eng
 Datoer: 2014-02-28
 Sider: -
 Publiceringsinfo: København : Københavns Universitet
 Indholdsfortegnelse: -
 Note: -
 Type: Speciale
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