GetHFData:  A R package for downloading and aggregating high frequency trading data from Bovespa

Perlin, Marcelo; Ramos, Henrique Pinto

doi:10.12660/rbfin.v14n3.2016.64587

Cited by 4 publications

(1 citation statement)

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“…We utilized intraday trading data for assets listed on B3 (Brasil, Bolsa e Balcão), Brazil's official stock exchange. For data collection, we relied on the library developed by Perlin and Ramos [49]. Trade data is commonly used in the literature, obviating the need to construct order books for the proposed analysis.…”

Section: Empirical Application Datamentioning

confidence: 99%

Multivariate realized volatility: an analysis via shrinkage methods for Brazilian market data

Vieira,

Laurini

2024

Front. Appl. Math. Stat.

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IntroductionRealized volatility analysis of assets in the Brazilian market within a multivariate framework is the focus of this study. Despite the success of volatility models in univariate scenarios, challenges arise due to increasing dimensionality of covariance matrices and lower asset liquidity in emerging markets.MethodsIn this study, we utilize intraday stock trading data from the Brazilian Market to compute daily covariance matrices using various specifications. To mitigate dimensionality issues in covariance matrix estimation, we implement penalization restrictions on coefficients through regressions with shrinkage techniques using Ridge, LASSO, or Elastic Net estimators. These techniques are employed to capture the dynamics of covariance matrices.ResultsComparison of covariance construction models is performed using the Model Confidence Set (MCS) algorithm, which selects the best models based on their predictive performance. The findings indicate that the method used for estimating the covariance matrix significantly impacts the selection of the best models. Additionally, it is observed that more liquid sectors demonstrate greater intra-sectoral dynamics.DiscussionWhile the results benefit from shrinkage techniques, the high correlation between assets presents challenges in capturing stock or sector idiosyncrasies. This suggests the need for further exploration and refinement of methods to better capture the complexities of volatility dynamics in emerging markets like Brazil.

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Section: Empirical Application Datamentioning

confidence: 99%