As one important form of market circuit breakers, price limits have been often imposed in stock and futures markets. This paper considers modeling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture a new concept of asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

We provide a definition of the rational expectations core in an atomless economy with asset markets and show that allocations in the core can be decentralized by a system of asset and spot prices as rational expectations equilibria.

As one important form of market circuit breakers, price limits have been often imposed in stock and future mnarkets. This paper considers modelling the return process of such assets, focusing on the treatment of price limits. As a result, a censored-GARCH model is formulated and a Bayesian...

This paper is concerned with the stategic use of a private information on the stock market. A repeated auction model is used to analyze the evolution of the price system on a market with asymmetric information. The model turns out to be a zero-sum repeated game with one-sided information, as...

This study addresses two questions: where does price discovery occur for internationally-traded firms and ho do international stock prices adjust to an exchange rate shock ?These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

In this paper we compare the incremental information content of lagged implied volatility to GARCH models of conditional volatility for a collection of agricultural commodities traded on the New York Board of Trade. We also assess the relevance of the additional information provided by the...

This study addresses two questions: where does price discovery occur for internationally-traded firms and how do international stock prices adjust to an exchange rate shock ? These questions are answered by analyzing quotes originating in New York and Frankfurt for three large German firms,...

This paper analyses the effect of nine categories of news announcements on the quoting activity of individual FX dealers on the Euro/Dollar exchange rate from May to October 2001. We use the Double Autoregressive Conditional Poisson model (DACP), which is designed for time series of count data,...

This paper studies and assesses the impact of G3 Central Bank interventions on the DEM/USD exchange rate properties using daily realized moments of exchange rate returns (obtained from intraday data) for the period 1989-2001. Event studies in terms of the realized moments for the intervention...