Matches in SemOpenAlex for { <https://semopenalex.org/work/W1606750871> ?p ?o ?g. }
- W1606750871 abstract "This paper analyzes the behavior of the German DAX index intraday returns. We devote particular attention to three related empirical issues. First we provide an up-to-date characterization of the DAX intraday volatility patterns. They are mostly W-shaped with peaks at the opening, at 2.30pm and before the closing. We find some evidence suggesting that the implied volatility also follows some deterministic patterns over the trading day. Second we identify jumps in DAX returns. On jump days, they account on average for 15% to 25% of the daily variance. Jumps also tend to cluster and are not evenly distributed throughout the trading day. Third we estimate the impact of a price jump on volatility. We consider different proxies for volatility: absolute returns, implied volatility and realized volatility. Our results indicate that negative jumps trigger a strong upward correction in volatility. This correction starts just after a jump occured and persists during up to 25 minutes. On the other hand, positive jumps seem to have a much less significant impact on volatility. These results hold for all volatility proxies but they are more significant when we consider the implied volatility." @default.
- W1606750871 created "2016-06-24" @default.
- W1606750871 creator A5050685898 @default.
- W1606750871 date "2008-01-01" @default.
- W1606750871 modified "2023-09-26" @default.
- W1606750871 title "Properties of High Frequency DAX Returns: Intraday Patterns, Jumps and their Impact on Subsequent Volatility" @default.
- W1606750871 cites W1481146996 @default.
- W1606750871 cites W1533920443 @default.
- W1606750871 cites W1537675197 @default.
- W1606750871 cites W1564581287 @default.
- W1606750871 cites W1963787328 @default.
- W1606750871 cites W1965635191 @default.
- W1606750871 cites W1969306056 @default.
- W1606750871 cites W1977766231 @default.
- W1606750871 cites W1978980639 @default.
- W1606750871 cites W1988428434 @default.
- W1606750871 cites W1989824032 @default.
- W1606750871 cites W2003268269 @default.
- W1606750871 cites W2005898875 @default.
- W1606750871 cites W2030548181 @default.
- W1606750871 cites W2032432147 @default.
- W1606750871 cites W2034358898 @default.
- W1606750871 cites W2039030717 @default.
- W1606750871 cites W2051235503 @default.
- W1606750871 cites W2057418282 @default.
- W1606750871 cites W2058479869 @default.
- W1606750871 cites W2077791698 @default.
- W1606750871 cites W2092723532 @default.
- W1606750871 cites W2099424930 @default.
- W1606750871 cites W2100011707 @default.
- W1606750871 cites W2100638104 @default.
- W1606750871 cites W2105101055 @default.
- W1606750871 cites W2109596131 @default.
- W1606750871 cites W2110752212 @default.
- W1606750871 cites W2113883339 @default.
- W1606750871 cites W2114355841 @default.
- W1606750871 cites W2118484139 @default.
- W1606750871 cites W2118854883 @default.
- W1606750871 cites W2121038660 @default.
- W1606750871 cites W2127009028 @default.
- W1606750871 cites W2131773668 @default.
- W1606750871 cites W2131938998 @default.
- W1606750871 cites W2136215272 @default.
- W1606750871 cites W2140585983 @default.
- W1606750871 cites W2156361014 @default.
- W1606750871 cites W2157296221 @default.
- W1606750871 cites W2157403008 @default.
- W1606750871 cites W2170286737 @default.
- W1606750871 cites W2185726388 @default.
- W1606750871 cites W2475901477 @default.
- W1606750871 cites W2762951684 @default.
- W1606750871 cites W3023906401 @default.
- W1606750871 cites W3121545291 @default.
- W1606750871 cites W3122281927 @default.
- W1606750871 cites W3122605706 @default.
- W1606750871 cites W3124009593 @default.
- W1606750871 cites W3124016026 @default.
- W1606750871 cites W3124147514 @default.
- W1606750871 cites W3124302603 @default.
- W1606750871 cites W3124585920 @default.
- W1606750871 cites W3124893198 @default.
- W1606750871 cites W3125189187 @default.
- W1606750871 cites W3125412410 @default.
- W1606750871 cites W3125987794 @default.
- W1606750871 cites W3126072850 @default.
- W1606750871 cites W44354168 @default.
- W1606750871 cites W2153271406 @default.
- W1606750871 doi "https://doi.org/10.2139/ssrn.1123766" @default.
- W1606750871 hasPublicationYear "2008" @default.
- W1606750871 type Work @default.
- W1606750871 sameAs 1606750871 @default.
- W1606750871 citedByCount "3" @default.
- W1606750871 countsByYear W16067508712022 @default.
- W1606750871 crossrefType "journal-article" @default.
- W1606750871 hasAuthorship W1606750871A5050685898 @default.
- W1606750871 hasConcept C106159729 @default.
- W1606750871 hasConcept C117996083 @default.
- W1606750871 hasConcept C121332964 @default.
- W1606750871 hasConcept C13290067 @default.
- W1606750871 hasConcept C149782125 @default.
- W1606750871 hasConcept C162324750 @default.
- W1606750871 hasConcept C165603445 @default.
- W1606750871 hasConcept C192620184 @default.
- W1606750871 hasConcept C24189920 @default.
- W1606750871 hasConcept C2780695682 @default.
- W1606750871 hasConcept C44731940 @default.
- W1606750871 hasConcept C60092789 @default.
- W1606750871 hasConcept C62520636 @default.
- W1606750871 hasConcept C85393063 @default.
- W1606750871 hasConcept C91602232 @default.
- W1606750871 hasConceptScore W1606750871C106159729 @default.
- W1606750871 hasConceptScore W1606750871C117996083 @default.
- W1606750871 hasConceptScore W1606750871C121332964 @default.
- W1606750871 hasConceptScore W1606750871C13290067 @default.
- W1606750871 hasConceptScore W1606750871C149782125 @default.
- W1606750871 hasConceptScore W1606750871C162324750 @default.
- W1606750871 hasConceptScore W1606750871C165603445 @default.
- W1606750871 hasConceptScore W1606750871C192620184 @default.
- W1606750871 hasConceptScore W1606750871C24189920 @default.
- W1606750871 hasConceptScore W1606750871C2780695682 @default.