In an asset return series, there is a conditional asymmetric dependence between current return and past volatility depending on the current return’s sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down...

In an asset return series there is a conditional asymmetric dependence between current return and past volatility depending on the current return's sign. To take into account the conditional asymmetry, we introduce new models for asset return dynamics in which frequencies of the up and down...

We study the probabilistic and statistical properties of the variation based realized third and fourth moments of financial returns. The realized moments of the return are unbiased and relative efficient estimators for the actual moments of the return distribution under a martingale condition in...

We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moments variations computed from high frequency return series are good approximations...

We derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk-neutral expectation of the quadratic variation of the return process and European option prices. The computation of...

I derive a recursive formula for arithmetic Asian option prices with finite observation times in semimartingale models. The method is based on the relationship between the risk‐neutral expectation of the quadratic variation of the return process and European option prices. The computation of...

<section xml:id="fut21635-sec-0001"> We propose a new method of measuring the third and fourth moments of return distribution based on quadratic variation method when the return process is assumed to have zero drift. The realized third and fourth moment variations computed from high‐frequency return series are good...</section>

Objectives: To analyse the strategy used by British American Tobacco (BAT) to re-enter the Chinese market from 1979 to 2000 after historically dominating the market before the 1950s. Design: Analysis of tobacco industry document files to date available only on-site at the Guildford Depository...

We present a simple mathematical model for the Twitter dynamics, and use the model to extract the information-sharing tendencies on two time scales, day and hour, about three contenders in the 2012 presidential election in South Korea. Comparison of the model results with actual data...