This paper analyzes some asymptotic results for a new estimator of integrated volatility in a continuous-time diffusion process of high frequency data (used in asset pricing finance). The estimator, which is computationally efficient, is based on the quadratic variation of the second order...

This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These...

Asia is a region whose financial integration has not kept pace with real integration. Asias relative financial isolation has limited its exposure to the direct fallout of the global financial crisis (though it did not prevent trade links from exerting severe contractionary impact). Does this...

In this paper I review the use of precautionary measures aimed at mitigating emerging markets exposure to fragility associated with financial integration. The discussion draws possible lessons from the ongoing global liquidity crisis. The fear of losing international reserves (IR) constrained...

This paper explores the linkages between the different stock markets in the Greater China region. Cointegration tests indicate that the three markets are not cointegrated. A vector-autoregressive multivariate conditional volatility model that accounts for asymmetric volatility effects is used to...

This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...

This paper argues that for countries where equity investments dominate cross-border capital flows, the proper framework for analyzing the role of a flexible exchange rate system as a buffer against external shocks is the uncovered stock return parity condition, rather than the uncovered interest...