TY  - UNPD
A1  - Hautsch, Nikolaus
T1  - Capturing common components in high-frequency financial time series : a multivariate stochastic multiplicative error model
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2007,25
N2  - We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects in the processes of high-frequency return volatilities, trade sizes and trading intensities. The model is estimated by simulated maximum likelihood using efficient importance sampling. Analyzing five minutes data from four liquid stocks traded at the New York Stock Exchange, we find that volatilities, volumes and intensities are driven by idiosyncratic dynamics as well as a highly persistent common factor capturing most causal relations and cross-dependencies between the individual variables. This confirms economic theory and suggests more parsimonious specifications of high-dimensional trading processes. It turns out that common shocks affect the return volatility and the trading volume rather than the trading intensity. JEL Classification: C15, C32, C52
T3  - CFS working paper series - 2007, 25 
KW  - Multiplicative Error Models
KW  - Common Factor
KW  - Efficient Importance Sampling
KW  - Intraday Trading Process
Y1  - 2007
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/3558
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-50965
N1  - Acknowledgements: Earlier versions of this paper have been presented at the EC2 conference 2003 in London, at the International Conference on Finance in Copenhagen, 2005, the 2005 Arne Ryde Workshop in Financial Economics in Lund, the International Conference on High Frequency Finance in Konstanz, 2006, the 2006 meeting of the European Econometric Society in Vienna as well as the 2006 meeting of the German Economic Association in Bayreuth. For valuable comments we would like to thank Torben G. Andersen, Luc Bauwens, Tim Bollerslev, Robert F. Engle, Timo Ter¨asvirta, Winfried Pohlmeier as well as the seminar participants at the Stockholm School of Economics and the Universit´e Libre de Bruxelles.
IS  - July 2007
ER  -