There is substantial empirical literature which examines the relationship between private and public consumption. The conclusions from this literature, however, are generally mixed. In this paper, we attempt to provide some additional evidence on this relationship. We consider a two-good...

A copula approach is adopted to examine the extreme return-volume relationship in six emerging East-Asian equity markets. The empirical results indicate that the return-volume dependence is significant and asymmetric at extremes for all six East-Asian markets. In particular extremely high...

In this study we examine the persistence of a firm's ability to differentiate itself from its peers and stand out in a crowd of competitors through IT innovation. By using cross-sectional data set of large US firms from 1997-2004, our empirical evidence shows that prior IT innovation experience...

Prior studies have documented the extent of accounting conservatism (in the form of the asymmetric response of accountings earnings to news) and its increase over time. However, many of these studies implicitly assume that unobserved firm-specific characteristics (known as firm heterogeneity or...

This paper presents a new class of time-deformation (or stochastic volatility) models for stock returns sampled in transaction time and directed by a generalized duration process. Stochastic volatility in this model is driven by an observed duration process and a latent autoregressive process....

This paper considers Value at Risk measures constructed under a discrete mixture of normal distribution on the innovations with time-varying volatility, or MN-GARCH, model. We adopt an approach based on the continuous empirical characteristic function to estimate the param eters of the model...

This paper extends the stochastic conditional duration model by imposing mixtures of bivariate normal distributions on the innovations of the observation and latent equations of the duration process. This extension allows the model not only to capture the asymmetric behavior of the expected...

This paper presents a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. With these two state-variable processes, closed-form solutions are derived for zero-coupon bond...