recent developments in high frequency financial ... - Index of

Appendix
Table A1 Consumer confidence
• ✓
10 min −0.06 −0.05 −0.09 −0.07 −0.06 −0.06 −0.04 −0.09 −0.09 −0.07 −0.09 −0.03 −0.05 −0.06 −0.06 −0.01 −0.06 −0.08 −0.11 −0.06 0.08
20 min −0.06 −0.07 −0.06 −0.06 −0.06 −0.06 −0.07 −0.07 −0.05 −0.05 −0.09 −0.05 −0.05 −0.06 −0.11 −0.06 −0.05 −0.04 −0.07 −0.04 −0.13
30 min −0.06 −0.06 −0.04 −0.05 −0.06 −0.06 −0.08 −0.05 −0.03 −0.04 −0.08 −0.06 −0.04 −0.05 −0.11 −0.08 −0.03 −0.01 −0.04 −0.02 −0.21
40 min −0.04 −0.05 −0.02 −0.04 −0.05 −0.04 −0.07 −0.03 −0.02 −0.02 −0.06 −0.06 −0.02 −0.04 −0.10 −0.08 −0.02 0.01 −0.03 0.02 0.21
50 min −0.03 −0.03 −0.01 −0.02 −0.03 −0.02 −0.05 −0.02 −0.01 −0.01 −0.04 −0.05 −0.01 −0.02 −0.06 −0.07 0.00 0.01 −0.02 −0.01 −0.16
60 min −0.01 −0.01 −0.01 −0.01 −0.02 −0.01 −0.03 −0.02 −0.01 0.00 −0.02 −0.04 0.00 −0.01 −0.03 −0.05 0.01 0.01 −0.01 −0.01 −0.09
70 min 0.00 0.00 −0.01 0.00 −0.01 0.01 −0.01 −0.01 −0.01 0.00 0.00 −0.03 0.01 0.00 0.00 −0.04 0.02 0.01 −0.01 −0.01 −0.02
80 min 0.01 0.01 −0.01 0.01 0.00 0.02 0.01 −0.01 −0.01 0.01 0.01 −0.02 0.02 0.01 0.03 −0.02 0.02 0.00 −0.01 −0.02 0.04
90 min 0.01 0.02 −0.01 0.01 0.01 0.02 0.01 −0.01 −0.01 0.00 0.01 −0.01 0.02 0.01 0.03 −0.01 0.02 −0.01 −0.01 −0.02 0.07
100 min 0.01 0.01 −0.01 0.01 0.01 0.01 0.01 −0.01 −0.01 0.00 0.01 −0.01 0.02 0.01 0.03 0.00 0.01 −0.02 0.00 −0.02 0.07
110 min 0.00 0.01 −0.01 0.00 0.00 0.01 0.01 −0.01 −0.01 −0.01 0.01 0.00 0.01 0.00 0.02 0.01 0.01 −0.02 0.00 −0.02 0.04
120 min 0.00 0.00 −0.01 −0.01 0.00 0.00 0.00 −0.01 −0.01 −0.01 0.00 0.00 0.00 −0.01 0.00 0.01 0.00 −0.02 0.00 −0.02 0.00
Estimation results using PDL models with polynomial of degree three. Standard errors estimated with the heteroskedastic consistent White estimator. Bold and italic
numbers are significant at 5 and 10%, respectively. Otherwise, they are statistically equal to zero. •,✓and stand for estimation results for all, positive and negative
forecasting errors, respectively. and stand for estimation results for forecasting errors in expansions and contractions of the business cycle, respectively. , ,
and stand for estimation results for forecasting errors in the top, bottom, expansions and contractions of the business cycle
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D. Veredas