Indirect estimation of elliptical stable distributions

We present an indirect estimation approach for elliptical stable distributions which relies on the use of a multivariate t distribution as auxiliary model. This distribution is also elliptical and we show that its parameters have a one-to-one relationship with those of the elliptical stable, therefore making the proposed indirect approach especially suitable.Standard asymptotic properties are also shown and we analyze the finite sample behavior of the estimators via a comprehensive Monte Carlo study. An application to 27 emerging markets stock indexes concludes the paper.stable, elliptical, high dimension, multivariate, indirect inference

Macro Surprises And Short-Term Behaviour In Bond Futures

This paper analyses how the macro news affect the future price of the ten year Treasure bond future (TY), one of the most important US bonds. We consider different fundamentals and we analyze the effect of their forecasting errors conditionally on their sign and the momentum of the business cycle. To obtain a smooth effect of the news arrival we consider a Polynomial Distributed Lag (PDL) model. We conclude that i)fundamentals affect TY for some hours, ii)their effect depends on the sign of the forecast error and iii) it depends on the business cycle. Finally the timeliness of the releases matters. Cet article discute de l'effet des nouvelles macroéconomiques sur le prix futur des bons du Trésor ayant échéance dans 10 ans, l une des classes d'obligations les plus importantes. On prendra en considération divers facteurs fondamentaux et on analysera l'effet de leurs erreurs de prédiction conditionnellement au signe et au momentum du cycle économique. Pour obenir un effet lisse sur l'arrivée des nouvelles, on prendra un modèle à retard polynomial distribué (PDL) On conclura que i) les facteurs fondamentaux affectent les rendements des obligations du Trésor pendant quelques heures, ii) leurs effets dépendent du signe de l'erreur de prédiction et iii)ils dépendent aussi du cycle économique. Finalement, le ``timing'' de l'arrivée de nouvelles macroéconomiques est important.US bonds, PDL model, business cycle, macro announcements, bons US, modèle PDL, cycle économique, annonce macroéconomique

Temporal aggregation of univariate and multivariate time series models: A survey

We present a unified and up-to-date overview of temporal aggregation techniques for univariate and multivariate time series models explaining in detail how these techniques are employed. Some empirical applications illustrate the main issues.Temporal aggregation, ARIMA, Seasonality, GARCH, Vector ARMA, Spurious causality, Multivariate GARCH

The Impact of Macroeconomic News on Quote Adjustments, Noise, and Informational Volatility

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ("efficient return") factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities. We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances.efficient return, macroeconomic announcements, microstructure noise, informational volatility

The impact of macroeconomic news on quote adjustments, noise, and informational volatility

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components capturing market microstructure effects. The corresponding variance components reflect information-driven and noise-induced volatilities.We find that all volatility components reveal distinct dynamics and are positively influenced by news. The proportion of noise-induced variances is highest before announcements and significantly declines thereafter. Moreover, news-affected responses in all volatility components are influenced by order flow imbalances. --effcient return,macroeconomic announcements,microstructure noise,informational volatility

ON THE (INTRADAILY) SEASONALITY AND DYNAMICS OF A FINANCIAL POINT PROCESS: A SEMIPARAMETRIC APPROACH.

A component model for the analysis of financial durations is proposed. The components are the long-run dynamics and the seasonality. The later is left unspecified and the former is assumed to fall within the class of certain family of parametric functions. The joint model is estimated by maximizing a (local) quasi-likelihood function, and the resulting nonparametric estimator of the seasonal curve has an explicit form that turns out to be a transformation of the Nadaraya-Watson estimator. The estimators of the parameters of interest are shown to be root-N consistent and asymptotically efficient. Furthermore, the seasonal curve is also estimated consistently. The methodology is applied to the trade duration process of Bankinter, a medium size Spanish bank traded in Bolsa de Madrid. We show that adjusting data by seasonality produces important misspecifications.

Factores condicionantes de la movilización étnica entre la población inmigrante extracomunitaria

En este artículo se sistematizan algunos factores que condicionan la movilización étnica, esto es, la participación de los extranjeros extracomunitarios en España en asociaciones propias o movimientos más espontáneos de expresión colectiva. Analizamos las condiciones en que puede activarse la etnicidad como recurso político en el contexto receptor de cara a la obtención de beneficios -laborales, sociopolíticos-, lucha contra el racismo y la discriminación o mantenimiento y afirmación de la identidad de origen. Los factores referidos se agrupan en varios epígrafes -de índole económica, social, política y relacionados con la configuración de las asociaciones-, aunque su efecto sobre el objeto de estudio no se verifique independientemente del resto.In this article we systematize some factors conditioning the ethnic mobilization, that is, the extracomunitarian immigrants participation in their associations or more spontaneous movements for collective expression. We analyse the conditions under which ethnicity can be activated as a political resource in receptor society for obteining material benefits, fighting against racism and discrimination or maintaining and affirming original identity. The mentioned factors are grouped in various headlines -economic, social, political and relatives to associations configuration-, although their effect upon our study subject is not independent of the rest of them

Género e Inmigración: El "más difícil todavía" de las mujeres inmigrantes extracomunitarias

Este artículo repasa la evolución de las migraciones haciendo hincapié en la importancia de su observación desde la perspectiva del género y analiza su impacto y composición específica para el caso de las mujeres inmigrantes extracomunitarias en España. La idea central sobre la que se desarrolla la exposición es que las migraciones protagonizadas por mujeres constituyen una corriente de mejora y renovación social, pero también un vector de riesgo y vulnerabilidad para quienes las protagonizan. Las dos imágenes (esperanza y vulnerabilidad) reflejan aspectos, pues, de esa misma realidad de las mujeres migrantes

What pieces of limit order book information do are informative? An empirical analysis of a pure order-driven market

This paper studies the importance of different pieces of limit order book information in characterizing order aggressiveness and the timing of trades, order submissions and cancellations. Using limit order book information on liquid and frequently traded Spanish stock, we evidence that most of the explanatory power of the book concentrates on the best quotes. However, the book beyond the best quotes also matters in explaining the aggressiveness of traders. Liquidity providers benefit more from an increased degree of pre-trade transparency than liquidity consumers. Finally, no piece of book information matters in explaining the timing of orders

What Pieces of Limit Order Book Information Matter in Explaining Order Choice by Patient and Impatient Traders?

In this paper, we extend the existing empirical evidence on the relationship between the state of the limit order book (LOB) and order choice. Our contribution is twofold: first, we propose a sequential ordered probit (SOP) model which allows studying patient and impatient traders’ choices separately; second, we consider two pieces of LOB information, the best quotes and the book beyond the best quotes. We find that both pieces of LOB information explain the degree of patience of an incoming trader and, afterwards, its order choice. Nonetheless, the best quotes concentrate most of the explanatory power of the LOB. The shape of the book beyond the best quotes is crucial in explaining the aggressiveness of patient (limit order) traders, while impatient (market order) traders base their decisions primarily on the best quotes. Patient traders’ choices depend more on the state of the LOB on the same side of the market, while impatient traders mostly look at the state of the LOB on the opposite side. The aggressiveness of both types of traders augments with the inside spread. However, patient (impatient) traders submit more (less) aggressive limit (market) orders when the depth of the own (opposite) best quote and the length of the own (opposite) side of the book increase. We also find that higher depth away from the best ask (bid) quote may signal that this quote is “too low (high)”, causing incoming impatient buyers (sellers) to be more aggressive and incoming patient sellers (buyers) to be more conservative