The accuracy of the U.S. Bureau of Economic Analysis (BEA) monthly estimates of the nation’s quarterly nominal and real gross domestic product (GDP) growth rates are examined using a novel analytical framework based on the flexible two-piece generalized distribution. An analysis of the...

This paper uses the Hawkes self- and mutual-exciting point process to examine the influence network associated with the vintage violin market from its beginning in the second half of the 16th to the early 21st century. We focus on the violins attributed to the top 30 violin makers (luthiers)...

Mutual funds are either run by a single manager or by a management team. Which management design is better has long been a topic of interest. In the early 2000s, the proportion of team-managed funds rose, but in 2007 it leveled off. Using the constant term from Carhart’s 4-factor model as a...

This paper uses multivariate Hawkes processes to model the transactions behavior of the U.S. stock market as proxied by the 30 Dow Jones Industrial Average stocks before, during and after the May 6, 2010 flash crash, which lasted 36 minutes. The basis for our analysis is the excitation matrix,...

The international transmission of intraday price volatility among the United States, United Kingdom, and Japanese stock index futures markets in the period 1988-1994 is investigated in this paper. The empirical results based on extreme-value estimators and vector autoregression indicate the...

This paper investigates the nature and behavior of the domestic (local) currency market that existed in Florence (Italy) during the late 14th and early 15th centuries (a.k.a. Early Renaissance). We find that the extant volatility and microstructure models developed for modern asset markets are...