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dc.contributor.authorCheung, Yin-Wongen
dc.date.accessioned2009-01-28T15:55:28Z-
dc.date.available2009-01-28T15:55:28Z-
dc.date.issued2006-
dc.identifier.urihttp://hdl.handle.net/10419/19159-
dc.description.abstractWe construct an empirical model for daily highs and daily lows of US stock indexes based onthe intuition that highs and lows do not drift apart over time. Our empirical results show thatdaily 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 variationsin highs and lows within the VECM framework. With all these variables, the augmentedVECM models explain 40% to 50% of variations in daily highs and lows. The generalizedimpulse response analysis shows that the responses of daily highs and daily lows to theshocks depend on whether data on openings, closings, and trading volume are included in theanalysis.en
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x1695en
dc.subject.jelG10en
dc.subject.jelC32en
dc.subject.ddc330en
dc.subject.keywordhighen
dc.subject.keywordlow openen
dc.subject.keywordcloseen
dc.subject.keywordtrading volumeen
dc.subject.keywordVECM modelen
dc.subject.stwBörsenkursen
dc.subject.stwAktienindexen
dc.subject.stwKointegrationen
dc.subject.stwWertpapierhandelen
dc.subject.stwBörsenumsatzen
dc.subject.stwSchätzungen
dc.subject.stwUSAen
dc.titleAnempirical model of daily highs and lows-
dc.typeWorking Paperen
dc.identifier.ppn510038859en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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