Contagion represents a significant change in cross-market linkages precipitated by a crisis and is properly measured only after taking into account the interdependence or extant linkages prevailing between markets. Since it is well known that stock return volatilities and correlations are...

Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size permitted in the market. Consequently, observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum...

Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size permitted in the market. Consequently, observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum...

Chan, Karolyi, Longstaff, and Sanders [1992] find no evidence that the October 1979 change in Federal Reserve operating policy resulted in a once-and-for-all deterministic break in the behavior of short term riskless interest rates. In contrast, we provide evidence of such a regime shift even...

This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must be estimated using data on observables. To do so, we use ¯ltering methods to extract stochastic correlation...

Chan, Karolyi, Longstaff, and Sanders [1992] find no evidence that the October 1979 change in Federal Reserve operating policy resulted in a once-and-for-all deterministic break in the behavior of short term riskless interest rates. In contrast, we provide evidence of such a regime shift even...

This paper investigates the time series estimation of Cox, Ingersoll, and Ross's square root, mean-reverting specification for interest rate dynamics. For a priori resonable mean reversion, the stochastic behavior of interest rates is sufficiently close to a non-stationary process with a unit...

Stocks and other financial assets are traded at prices that lie on a fixed grid determined by the minimum tick size. Observed prices and quoted spreads do not correspond to the equilibrium prices and true spreads that would exist in a market with no minimum tick size. Using Monte Carlo Markov...