The International Spillovers of the 2010 U.S. Flash Crash

2018 ◽  
Author(s):  
David-Jan Jansen
Keyword(s):  
International Spillovers ◽  
Flash Crash

Herding and Flash Events: Evidence From the 2010 Flash Crash

2018 ◽  
Author(s):  
Riza Demirer ◽  
Karyl Leggio ◽  
Donald Lien
Keyword(s):  
Flash Crash

scholarly journals Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers

Energies ◽  
2021 ◽  
Vol 14 (14) ◽  
pp. 4173
Author(s):  
Rangan Gupta ◽  
Christian Pierdzioch
Keyword(s):  
Crude Oil ◽  
Predictive Value ◽  
Realized Variance ◽  
International Spillovers ◽  
Forecasting Models ◽  
West Texas ◽  
Out Of Sample ◽  
One Year ◽  
Lasso Estimator

We use a dataset for the group of G7 countries and China to study the out-of-sample predictive value of uncertainty and its international spillovers for the realized variance of crude oil (West Texas Intermediate and Brent) over the sample period from 1996Q1 to 2020Q4. Using the Lasso estimator, we found evidence that uncertainty and international spillovers had predictive value for the realized variance at intermediate (two quarters) and long (one year) forecasting horizons in several of the forecasting models that we studied. This result holds also for upside (good) and downside (bad) variance, and irrespective of whether we used a recursive or a rolling estimation window. Our results have important implications for investors and policymakers.

scholarly journals The Flash Crash: High-Frequency Trading in an Electronic Market

2017 ◽  
Vol 72 (3) ◽  
pp. 967-998 ◽  
Author(s):  
ANDREI KIRILENKO ◽  
ALBERT S. KYLE ◽  
MEHRDAD SAMADI ◽  
TUGKAN TUZUN
Keyword(s):  
High Frequency ◽  
High Frequency Trading ◽  
Electronic Market ◽  
Flash Crash
Sign in / Sign up

Export Citation Format

Share Document