Unexpected volatiltiy and intraday serial correlation

Renò, Roberto; Bianco, Simone

[journal article]

dc.contributor.author	Renò, Roberto	de
dc.contributor.author	Bianco, Simone	de
dc.date.accessioned	2011-02-23T03:50:00Z	de
dc.date.accessioned	2012-08-29T23:07:05Z
dc.date.available	2012-08-29T23:07:05Z
dc.date.issued	2009	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/22131
dc.description.abstract	We study the impact of volatility on intraday serial correlation, at time scales of less than 20 minutes, exploiting a data set with all transaction on SPX500 futures from 1993 to 2001. We show that, while realized volatility and intraday serial correlation are linked, this relation is driven by unexpected volatility only, that is by the fraction of volatility which cannot be forecasted. The impact of predictable volatility is instead found to be negative (LeBaron effect). Our results are robust to microstructure noise, and they confirm the leading economic theories on price formation.	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	Volatility; Serial correlation; Variance ratio; High-frequency data
dc.title	Unexpected volatiltiy and intraday serial correlation	en
dc.description.review	begutachtet (peer reviewed)	de
dc.description.review	peer reviewed	en
dc.source.journal	Quantitative Finance	de
dc.source.volume	9	de
dc.publisher.country	GBR
dc.source.issue	4	de
dc.subject.classoz	Basic Research, General Concepts and History of Economics	en
dc.subject.classoz	Economic Statistics, Econometrics, Business Informatics	en
dc.subject.classoz	Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik	de
dc.subject.classoz	Allgemeines, spezielle Theorien und Schulen, Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften	de
dc.identifier.urn	urn:nbn:de:0168-ssoar-221315	de
dc.date.modified	2011-03-17T11:09:00Z	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	de
dc.rights.licence	PEER Licence Agreement (applicable only to documents from PEER project)	en
ssoar.gesis.collection	SOLIS;ADIS	de
ssoar.contributor.institution	http://www.peerproject.eu/	de
internal.status	3	de
dc.type.stock	article	de
dc.type.document	journal article	en
dc.type.document	Zeitschriftenartikel	de
dc.rights.copyright	f	de
dc.source.pageinfo	465-475
internal.identifier.classoz	10905
internal.identifier.classoz	10901
internal.identifier.document	32
internal.identifier.ddc	330
dc.identifier.doi	https://doi.org/10.1080/14697680802452050	de
dc.subject.methods	Theorieanwendung	de
dc.subject.methods	theory application	en
dc.description.pubstatus	Postprint	en
dc.description.pubstatus	Postprint	de
internal.identifier.licence	7
internal.identifier.methods	15
internal.identifier.pubstatus	2
internal.identifier.review	1
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Allgemeines, spezielle Theorien und "Schulen", Methoden, Entwicklung und Geschichte der Wirtschaftswissenschaften
Basic Research, General Concepts and History of Economics
Wirtschaftsstatistik, Ökonometrie, Wirtschaftsinformatik
Economic Statistics, Econometrics, Business Informatics

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