Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...

This paper derives results for the temporal aggregation of multivariate GARCH processes in the general vector specification. It is shown that the class of weak multivariate GARCH processes is closed under temporal aggregation. Fourth moment characteristics turn out to be crucial for the low...

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Implied volatility generated from observed option prices reflects market expectations of future volatility. This paper determines whether or not, implied volatilities, and hence market expectations, contain any genuinely forward looking information not already captured by historical information....

It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Today?s level of financial integration and development of international capital markets is often compared to the pre-World War I Gold Standard. However, the propensity to currency crises seems higher today than in the past. Furthermore, the dynamics of crises has changed: In the most recent...

This paper examines stock market behaviour in India, Sri Lanka, Pakistan, and Bangladesh employing unit root tests, autocorrelation tests and spectral analysis. Evidence suggests that all markets exhibit a random walk. The multivariate cointegration tests based upon the Johansen Juselius (1988,...

En este artículo se propone una extensión de la metodología multivariada de desagregación temporal de Di Fonzo [1990]. Esta supone que los errores de las series de alta frecuencia siguen un modelo VAR(1) en lugar de un proceso ruido blanco. Adicionalmente, se realiza una reseña de...

Uno de los principales motivos para acumular reservas internacionales es cubrir los egresos de la balanza de pagos ante una potencial escasez de divisas. Centrándose en el cubrimiento de los egresos por importaciones, se determina la composición cambiaria que mejor preserva el poder...

Three methodologies to estimate the natural interest rate, NIR, are implemented for the Colombian economy. Two methods are statistical filters and the third involves some economic theory. The first method is based on unobserved components decomposition of the real interest rate and explores the...