The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

We consider the problem of estimating missing values in vector time series. We give a method of calculating the minimum least squares estimate and a second method which uses the best linear combination of the forward and backward predictors. We derive the estimators for some simple models. We...

The paper deals with estimation of missing observations in possibly nonstationary ARIMA models. First, the model is assumed known, and the structure of the interpolation filter is analysed. Using the inverse or dual autocorrelation function it is seen how estimation of a missing observation is...

The paper proposes an original class of conditionally heteroskedastic models aimed to capture contemporaneous asymmetry. Not only past up and down moves of stock market returns have different impacts on the conditional variance, but also, positive and negative changes are governed by different...

When estimating the parameters of a process, researchers can choose the reference unit of time (unit period) for their study. Frequently, they set the unit period equal to the observation interval. However, I show that decoupling the unit period from the observation interval facilitates the...

We propose a new concept of modulated bipower variation for diffusion models with microstructure noise. We show that this method provides simple estimates for such important quantities as integrated volatility or integrated quarticity. Under mild conditions the consistency of modulated bipower...

Positive relationship between trade volume and return volatility is a well-known empirical verified regularity in the financial research. Several studies examined what causes to volume-volatility to evolve and numerous theoretical explanations have been developed to predict/explore this...

In this paper, the relation of asymmetric conditional volatility to market agents' information perception ability is built and positively tested. Liquidity dry-ups during extreme market conditions, that, due to investors' risk aversion, are more pronounced during negative than positive news...

We seek for verification and explanation of arbitrage between securities of dual-listed Brazilian-based companies which are simultaneously traded on the Brazilian and the US stock markets. Following the extant literature, our underlying hypothesis is that arbitrage events can be explained by...

The paper documents the specification and estimation of an econometric model of the Brazilian stock market (Bovespa) using a GARCH(1,1) model. We used quarterly data for an estimation period spanning from January 1995 to December 2003. The empirical results show that GDP growth, exchange-rate...