Using intra-day data, this paper investigates the contribution to the price discovery of Euro and Japanese Yen exchange rates in three foreign exchange markets based on electronic trading systems: the CME GLOBEX regular futures, E-mini futures, and the EBS interdealer spot market. Contrary to...

This paper examines daily return predictability for eighteen international stock index ETFs. The out-of-sample tests are conducted, based on linear and various popular nonlinear models and both statistical and economic criteria for model comparison. The main results show evidence of...

Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy (the path factor) by a similar magnitude, and the reaction is short-lived. Dollar-denominated...

This paper examines effects of monetary policy surprises on returns, volatilities, trading volumes, and bid-ask spread of two equity ETFs, the Samp;P 500 SPY fund and the Samp;P 400 MDY fund. The policy surprises are measured by both surprises in the federal funds rate target changes and...

Intraday currency futures prices react to both surprises in the federal funds target rate (the target factor) and surprises in the anticipated future direction of Federal Reserve monetary policy (the path factor) in similar magnitude, and the reaction is short-lived. Dollar-denominated currency...

Using high frequency returns, we examine realized volatility and correlation on the NYMEX light, sweet crude oil and Henry-Hub natural gas futures contracts. The unconditional distributions of daily returns and daily realized variances are non-Gaussian while the distributions of the standardized...