Suppose one has a sample of high-frequency intraday discrete observations of a continuous time random process, such as foreign exchange rates and stock prices, and wants to test for the presence of jumps in the process. We show that the power of any test of this hypothesis depends on the...

We present empirical evidence for several hypotheses of how exchange rates are affected by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive, daily-frequency datasets of foreign exchange market transactions and equity market capital flows...

Using two newly available ultrahigh-frequency datasets, we investigate empirically how frequently one can sample certain foreign exchange and U.S. Treasury security returns without contaminating estimates of their integrated volatility with market microstructure noise. Using the standard...

The authors' subject is estimation and inference concerning long-run economic equilibria in models with stochastic trends. An asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems. The authors study, in detail, the single-equation...

We examine the asymptotic properties of the coefficient of determination, R2, in models with α-stable   random variables. If the regressor and error term share the same index of stability α2, we show that the R2  statistic does not converge to a constant but has a nondegenerate distribution...

In the turmoil of 2007-2009, troubles in a small segment of the US mortgage market escalated into a crisis of global proportions. A striking feature of the crisis is the contagion that hit Asia. In a region where direct exposures to problem mortgages were minimal, credit spreads for major...