Department of Economics and Business Economics

Volatility Discovery

Research output: Working paperResearch

Standard

Volatility Discovery. / Dias, Gustavo Fruet; Scherrer, Cristina; Papailias, Fotis.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2016.

Research output: Working paperResearch

Harvard

Dias, GF, Scherrer, C & Papailias, F 2016 'Volatility Discovery' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Dias, G. F., Scherrer, C., & Papailias, F. (2016). Volatility Discovery. Institut for Økonomi, Aarhus Universitet. CREATES Research Papers, No. 2016-07

CBE

Dias GF, Scherrer C, Papailias F. 2016. Volatility Discovery. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Dias, Gustavo Fruet, Cristina Scherrer and Fotis Papailias Volatility Discovery. Aarhus: Institut for Økonomi, Aarhus Universitet. (CREATES Research Papers; Journal number 2016-07). 2016., 58 p.

Vancouver

Dias GF, Scherrer C, Papailias F. Volatility Discovery. Aarhus: Institut for Økonomi, Aarhus Universitet. 2016 Feb 24.

Author

Dias, Gustavo Fruet ; Scherrer, Cristina ; Papailias, Fotis. / Volatility Discovery. Aarhus : Institut for Økonomi, Aarhus Universitet, 2016. (CREATES Research Papers; No. 2016-07).

Bibtex

@techreport{9a8691b4cd094e919f3358f53f869104,
title = "Volatility Discovery",
abstract = "The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq.",
keywords = "volatility persistency, realized variance, fractionally cointegrated vector autoregressive (FCVAR), price discovery, high-frequency data",
author = "Dias, {Gustavo Fruet} and Cristina Scherrer and Fotis Papailias",
year = "2016",
month = feb,
day = "24",
language = "English",
series = "CREATES Research Papers",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
number = "2016-07",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - Volatility Discovery

AU - Dias, Gustavo Fruet

AU - Scherrer, Cristina

AU - Papailias, Fotis

PY - 2016/2/24

Y1 - 2016/2/24

N2 - The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq.

AB - The price discovery literature investigates how homogenous securities traded on different markets incorporate information into prices. We take this literature one step further and investigate how these markets contribute to stochastic volatility (volatility discovery). We formally show that the realized measures from homogenous securities share a fractional stochastic trend, which is a combination of the price and volatility discovery measures. Furthermore, we show that volatility discovery is associated with the way that market participants process information arrival (market sensitivity). Finally, we compute volatility discovery for 30 actively traded stocks in the U.S. and report that Nyse and Arca dominate Nasdaq.

KW - volatility persistency, realized variance, fractionally cointegrated vector autoregressive (FCVAR), price discovery, high-frequency data

M3 - Working paper

T3 - CREATES Research Papers

BT - Volatility Discovery

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -