@techreport{Cheung2006Anempirical,
abstract = {We construct an empirical model for daily highs and daily lows of US stock indexes based on
the intuition that highs and lows do not drift apart over time. Our empirical results show that
daily highs and lows of three main US stock price indexes are cointegrated. Data on openings,
closings, and trading volume are found to offer incremental explanatory power for variations
in highs and lows within the VECM framework. With all these variables, the augmented
VECM models explain 40% to 50% of variations in daily highs and lows. The generalized
impulse response analysis shows that the responses of daily highs and daily lows to the
shocks depend on whether data on openings, closings, and trading volume are included in the
analysis.},
author = {Yin-Wong Cheung},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; C32; 330; high; low open; close; trading volume; VECM model; B\"{o}rsenkurs; Aktienindex; Kointegration; Wertpapierhandel; B\"{o}rsenumsatz; Sch\"{a}tzung; USA},
language = {eng},
number = {1695},
title = {Anempirical model of daily highs and lows},
type = {CESifo working papers},
url = {http://hdl.handle.net/10419/19159},
year = {2006}
}
