Markus Bibinger

University of Mannheim

Mannheim, 68131

Germany

SCHOLARLY PAPERS

4

DOWNLOADS

327

SSRN CITATIONS
Rank 27,500

SSRN RANKINGS

Top 27,500

in Total Papers Citations

12

CROSSREF CITATIONS

12

Scholarly Papers (4)

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

CFS Working Paper, No. 477
Number of pages: 56 Posted: 09 Oct 2014
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 122 (233,079)
Citation 5

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

Estimating the Spot Covariation of Asset Prices – Statistical Theory and Empirical Evidence

Number of pages: 42 Posted: 08 Oct 2014 Last Revised: 03 Nov 2016
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 85 (299,118)
Citation 4

Abstract:

Loading...

local method of moments, spot covariance, smoothing, intraday (co-)variation risk

2.

Estimating the Quadratic Covariation Matrix from Noisy Observations: Local Method of Moments and Efficiency

Number of pages: 39 Posted: 26 Aug 2013
Markus Bibinger, Nikolaus Hautsch, Peter Malec and Markus Reiss
University of Mannheim, University of Vienna - Department of Statistics and Operations Research, University of Cambridge - Faculty of Economics and Humboldt University of Berlin
Downloads 59 (362,611)
Citation 8

Abstract:

Loading...

adaptive estimation, asymptotic equivalence, asynchronous observations, integrated covolatility matrix, quadratic covariation, semiparametric efficiency, microstructure noise, spectral estimation

3.

ECB Monetary Policy Surprises: Identification through Cojumps in Interest Rates

ECB Working Paper No. 1674
Number of pages: 35 Posted: 04 Jul 2014
Lars Winkelmann, Markus Bibinger and Tobias Linzert
Free University of Berlin (FUB), University of Mannheim and European Central Bank (ECB)
Downloads 40 (427,833)
Citation 1

Abstract:

Loading...

central bank communication, yield curve, spectral cojump estimator, non-synchronous and noisy high frequency tick-data

4.

Estimation of the Discontinuous Leverage Effect: Evidence from the NASDAQ Order Book

FRB St. Louis Working Paper No. 2017-12
Number of pages: 42 Posted: 28 Apr 2017 Last Revised: 05 Jan 2019
Markus Bibinger, Christopher J. Neely and Lars Winkelmann
University of Mannheim, Federal Reserve Bank of St. Louis - Research Division and Free University of Berlin (FUB)
Downloads 21 (520,486)

Abstract:

Loading...

High-frequency data, market microstructure, news impact, market-wide jumps, price jump, volatility jump.