In this paper we analyze the asymptotic properties of the popular distribution tail index estimator by B. Hill (1975) for possibly heavy- tailed, heterogenous, dependent processes. We prove the Hill estimator is weakly consistent for processes with extremes that form mixingale sequences, and...

We develop asymptotically chi-squared tests of tail specific extremal serial dependence for possibly heavy-tailed time series, including infinite variance and infinite mean processes. Our test statistics have a chi-squared limit distribution under the null of "extremal white-noise" for processes...

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high...

In this paper, we introduce a novel class of skewed multivariate distributions and, more generally, a method of building such a class on the basis of univariate skewed distributions. The method is based on a general linear transformation of a multidimensional random variable with independent...

This study examines the forecastability of ASEAN-5 stock market returns using linear and non-linear time series models. Time series models with GARCH errors are also considered. Based on formal econometrics tests, this study shows that the behaviour of these returns do not follow random walk...

We study the volatility of the MIB30–stock–index high–frequency data from November 28, 1994 through September 15, 1995. Our aim is to empirically characterize the volatility random walk in the framework of continuous–time finance. To this end, we compute the index volatility by means of...

The behaviour of an emerging market, the Athens Stock Exchange (ASE), after the introduction of the euro is investigated. The underlying assumption is that stock prices would be more transparent; their performance easier to compare; the exchange rate risk eliminated and as a result we expect the...

Engel and West (2004a) provide an explanation to reconcile the random walk behavior of exchange rate and linear present value asset pricing models. In this paper, we study the long horizon property of exchange rate under Engel-West explanation. It is found that the long horizon data can not...

In this paper we present a rather general phenomenological theory of tick-by-tick dynamics in financial markets. Many well-known aspects, such as the Lévy scaling form, follow as particular cases of the theory. The theory fully takes into account the non-Markovian and non-local character of...

We analyze the time series of overnight returns for the bund and btp futures exchanged at liffe (London). The overnight returns of both assets are mapped onto a one–dimensional symbolic–dynamics random walk: The “bond walk”. During the considered period (October 1991—January 1994) the...