{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,5,19]],"date-time":"2026-05-19T04:56:29Z","timestamp":1779166589242,"version":"3.51.4"},"reference-count":25,"publisher":"Wiley","issue":"7","license":[{"start":{"date-parts":[[2019,8,27]],"date-time":"2019-08-27T00:00:00Z","timestamp":1566864000000},"content-version":"vor","delay-in-days":0,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"funder":[{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71501134 (Young Scientists Fund Project)"],"award-info":[{"award-number":["71501134 (Young Scientists Fund Project)"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]},{"DOI":"10.13039\/501100001809","name":"National Natural Science Foundation of China","doi-asserted-by":"publisher","award":["71671183(General Program Project)"],"award-info":[{"award-number":["71671183(General Program Project)"]}],"id":[{"id":"10.13039\/501100001809","id-type":"DOI","asserted-by":"publisher"}]}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["J of Applied Econometrics"],"published-print":{"date-parts":[[2019,11]]},"abstract":"<jats:title>Summary<\/jats:title><jats:p>Asymmetric information models of market microstructure claim that variables such as trading intensity are proxies for latent information on the value of financial assets. We consider the interval\u2010valued time series (ITS) of low\/high returns and explore the relationship between these extreme returns and the intensity of trading. We assume that the returns (or prices) are generated by a latent process with some unknown conditional density. At each period of time, from this density, we have some random draws (trades) and the lowest and highest returns are the realized extreme observations of the latent process over the sample of draws. In this context, we propose a semiparametric model of extreme returns that exploits the results provided by extreme value theory. If properly centered and standardized extremes have well\u2010defined limiting distributions, the conditional mean of extreme returns is a nonlinear function of the conditional moments of the latent process and of the conditional intensity of the process that governs the number of draws. We implement a two\u2010step estimation procedure. First, we estimate parametrically the regressors that will enter into the nonlinear function, and in a second step we estimate nonparametrically the conditional mean of extreme returns as a function of the generated regressors. Unlike current models for ITS, the proposed semiparametric model is robust to misspecification of the conditional density of the latent process. We fit several nonlinear and linear models to the 5\u2010minute and 1\u2010minute low\/high returns to seven major banks and technology stocks, and find that the nonlinear specification is superior to the current linear models and that the conditional volatility of the latent process and the conditional intensity of the trading process are major drivers of the dynamics of extreme returns.<\/jats:p>","DOI":"10.1002\/jae.2738","type":"journal-article","created":{"date-parts":[[2019,8,27]],"date-time":"2019-08-27T18:05:06Z","timestamp":1566929106000},"page":"1121-1140","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":8,"title":["Extreme returns and intensity of trading"],"prefix":"10.1002","volume":"34","author":[{"given":"Wei","family":"Lin","sequence":"first","affiliation":[{"name":"School of International Trade and Economics University of International Business and Economics  Beijing China"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Gloria","family":"Gonz\u00e1lez\u2010Rivera","sequence":"additional","affiliation":[{"name":"Department of Economics University of California  Riverside California"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2019,11,10]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1996.tb05206.x"},{"key":"e_1_2_8_3_1","first-page":"247","volume-title":"Handbook of empirical economics and finance","author":"Arroyo J.","year":"2011"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2008.00275.x"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2006.09.030"},{"key":"e_1_2_8_6_1","volume-title":"A Course in Probability Theory","author":"Chung K. L.","year":"2001"},{"key":"e_1_2_8_7_1","doi-asserted-by":"crossref","unstructured":"Conrad C. &Mammen E.(2008).Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH\u2010In\u2010Mean Models. (Discussion Paper No. 473).Heidelberg Germany.","DOI":"10.2139\/ssrn.1192082"},{"key":"e_1_2_8_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0378-4266(02)00321-7"},{"key":"e_1_2_8_9_1","volume-title":"Extreme value theory: An introduction","author":"Haan L.","year":"2000"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(82)90102-6"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04402.x"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-3-642-33483-2"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00091"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0305004100015681"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jbankfin.2010.11.007"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1968974"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.818004"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1162\/REST_a_00215"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1990.tb05088.x"},{"key":"e_1_2_8_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4612-5449-2"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1214\/aop\/1176991767"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.csda.2015.07.008"},{"key":"e_1_2_8_23_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.frl.2009.09.002"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1086\/296071"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.irfa.2011.06.002"},{"key":"e_1_2_8_26_1","volume-title":"Exploratory data analysis","author":"Tukey J. W.","year":"1977"}],"container-title":["Journal of Applied Econometrics"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1002%2Fjae.2738","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2738","content-type":"application\/pdf","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/full-xml\/10.1002\/jae.2738","content-type":"application\/xml","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1002\/jae.2738","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,9,7]],"date-time":"2023-09-07T10:13:54Z","timestamp":1694081634000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1002\/jae.2738"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2019,11]]},"references-count":25,"journal-issue":{"issue":"7","published-print":{"date-parts":[[2019,11]]}},"alternative-id":["10.1002\/jae.2738"],"URL":"https:\/\/doi.org\/10.1002\/jae.2738","archive":["Portico"],"relation":{},"ISSN":["0883-7252","1099-1255"],"issn-type":[{"value":"0883-7252","type":"print"},{"value":"1099-1255","type":"electronic"}],"subject":[],"published":{"date-parts":[[2019,11]]},"assertion":[{"value":"2016-03-21","order":0,"name":"received","label":"Received","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-07-25","order":1,"name":"accepted","label":"Accepted","group":{"name":"publication_history","label":"Publication History"}},{"value":"2019-11-10","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}