Based on a unique composite dataset measuring heterogeneous sports participation, labour market outcomes and local facilities provision, this paper examines for the first time the association between different types of sports participation on employment and earnings in England. Clear...

We use data from the London Metal Exchange (LME) to forecast monthly copper returns using the recently proposed dynamic model averaging and selection (DMA/DMS) framework, which incorporates time varying parameters as well as model averaging and selection into one unifying framework. Using a...

Rapach et al. (2013) have recently shown that U.S. equity market returns carry valuable information to improve return forecasts in a large cross-section of international equity markets. In this study, we extend the work of Rapach et al. (2013) and examine if U.S. based equity market information...

Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...

We estimate a state-dependent multifactor model with two endogenous states. Its pricing accuracy is slightly superior to that of the Fama and French (1993, 1996) model. We have evidence for dramatically increased factor loadings for distress factors in one state. These results have implications...

We suggest a joint analysis of ex-post intra-day variability in an option and its associated underlying asset market as a novel means of validating an option pricing model. For this purpose, we introduce the notion of option realized variance, by which we mean the cumulative variance realized by...

We empirically investigate the predictive power of the various components affecting correlations that have been recently introduced in the literature. We focus on models allowing for a flexible specification of the short-run component of correlations as well as the long-run component. Moreover,...

We construct an empirical heterogeneous agent model which optimally combines forecasts from fundamentalist and chartists agents and evaluate its out-of-sample forecast performance using daily date covering the period from January 1999 to June 2014 for six of the most widely traded currencies. We...

We provide new empirical evidence on volatility forecasting in relation to asymmetries present in the dynamics of both return and volatility processes. Leverage and volatility feedback effects among continuous and jump components of the S&P500 price and volatility dynamics are examined using...

We develop infinitesimally robust statistical procedures for general diffusion processes. We first prove existence and uniqueness of the times series influence function of conditionally unbiased M–estimators for ergodic and stationary dffusions, under weak conditions on the (martingale)...