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Mardi Dungey, Cambridge and Tasmania Print
Thursday, 29 September 2011, 12:15 - 13:15

Mardi Dungey, University of Cambridge and Tasmania

Characterizing financial crises through the spectrum of high frequency data

Abstract: Financial market data in crises are usually modelled as possessing characteristics in common with non-crisis data and some additional peculiarities. Recent advances in analytical tools available for high frequency data make it possible to characterize which component of data generating processes change in crisis, and which do not. We introduce a set of new statistics which particularly indicate changes in tail behaviour across different sample periods. In an empirical application to US Treasury markets we find increased identification of price discontinuities and tail activity during the crisis period and evidence for flight to quality and cash across the term structure.

Location: R42.2.113
Contact: Claude Adan, This e-mail address is being protected from spam bots, you need JavaScript enabled to view it