ABSTRACT
Beltran-Lopez,GrammigandMenkveld analyse the link between information asymmetry andmarket liquidity. They study the importance of information asymmetry in limit order books based on a recent sample of 30 German DAX stocks and find that Hasbrouck’s measure of trade informativeness Granger causes book liquidity, in particular that required to fill large market orders. They find that picking-off risk due to public news-induced volatility is more important for top-of-the book liquidity supply. In their multivariate analysis they control for volatility, trading volume, trading intensity and order imbalance to isolate the effect of trade informativeness on book liquidity. Bonato, Caporin and Ranaldo focus within the class of realized covariance models on Wishart specifications and analyse the forecasting performance of parametric restrictions motivated by asset features such as their economic sector, book-to-market or price-earnings ratios. They consider a range of model comparison approaches that represent the most recent and up-to-date methods proposed in the literature. Their tests provide some evidence on the possible preference of restricted specifications over fully parameterized models. Coroneo and Veredas model the conditional distribution of high-frequency financial returns by means of a two-component quantile regression model. Using three years of 30-minute returns, they show that the conditional distribution depends on past returns and on the time of the day. Two practical applications illustrate the usefulness of themodel. First, they provide quantile-based measures of conditional volatility, asymmetry and kurtosis that do not depend on the existence of moments. They find seasonal patterns and time dependencies beyond volatility. Second, they estimate and forecast intraday Value at Risk and show that their two-component model is able to provide good risk assessments and to outperform GARCH-based Value at Risk methods.
