Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations

Martin Rypdal, Espen Sirnes, Ola L{\o}vsletten and Kristoffer Rypdal

Papers from arXiv.org

Abstract: Maximum likelihood estimation applied to high-frequency data allows us to quantify intermittency in the fluctu- ations of asset prices. From time records as short as one month these methods permit extraction of a meaningful intermittency parameter {\lambda} characterising the degree of volatility clustering of asset prices. We can therefore study the time evolution of volatility clustering and test the statistical significance of this variability. By analysing data from the Oslo Stock Exchange, and comparing the results with the investment grade spread, we find that the estimates of {\lambda} are lower at times of high market uncertainty.

Date: 2012-02
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1202.4877 Latest version (application/pdf)

Related works:
Journal Article: Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1202.4877

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().