.S. commercial banks, testing price pressure, information, feedback trading, and smoothing effects for energy exchange traded funds …, actuarial implications of structural changes in El Niño-Southern Oscillation Index dynamics, credit spreads and bankruptcy … information from options data, QMLE of a standard exponential ACD model: asymptotic distribution and residual correlation, and …

, including market-based estimation of stochastic volatility models, the fine structure of equity-index option dynamics, leverage … dynamics in commodity spot and futures markets, a stochastic dominance approach to financial risk management strategies …

based on straightforward calculations and interpretations of publicly available information. …

dynamics of BRICS's country risk ratings and domestic stock markets, U.S. stock market and oil price, forecasting value …

sector. Four alternative hypotheses are tested, including the price pressure hypothesis, information (or price release … crisis are used, no evidence is found in support of the price pressure hypothesis, information hypothesis, or feedback …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and … spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin …