This paper considers the downside-risk aversion of investors as an explanation for the risk-return trade-off. We test empirically this hypothesis using intraday data along with the recent measure of downside-risk called realized semivariance developed in Barndorff-Nielsen et al. (2010). The...

In this paper, we first provide an empirical evidence of the existence of intraday jumps in the crude oil price series. We then show that these jumps, in conjunction with realized volatility measures, are important in modeling the convenience yield over the 2001–2010 period. Our empirical...

We apply the Pesaran (2007) pair-wise approach of convergence to the per capita outputs of 195 European regions for the period 1980-2006. Pesaran's approach is based on the computation of the percentage ratio of output gaps which fulfil a given convergence criterion. A high ratio will be...