This paper considers estimation of semi-nonparametric GARCH filtered copula models in which the individual time series are modelled by semi-nonparametric GARCH and the joint distributions of the multivariate standardized innovations are characterized by parametric copulas with nonparametric...

We propose new methods for estimating the bid-ask spread from observed transaction prices alone. Our methods are based on the empirical characteristic function instead of the sample autocovariance function like the method of Roll (1984). As in Roll (1984), we have a closed form expression for...

This paper develops textual sentiment measures for China's stock market by extracting the textual tone of 60 million messages posted on a major online investor forum in China from 2008 to 2018. We conduct sentiment extraction by using both conventional dictionary methods based on customized word...

In this paper, we collect the annual data of 145 commercial banks in China from 2010 to 2019 and use a panel data fixed-effect model to study how fintech (financial technology) affects the influence of macroeconomic uncertainty on commercial banks' proactive risk-taking. We find that the...