Conventional time series analysis, focusing exclusively on a time series at a given scale, lacks the ability to explain the nature of the data generating process. A process equation that successfully explains daily price changes, for example, is unable to characterize the nature of hourly price...

We provide an empirical framework for assessing the distributional properties of daily speculative returns within the context of the continuous-time modeling paradigm traditionally used in asset pricing finance. Our approach builds directly on recently developed realized variation measures and...

A rapidly growing literature has documented important improvements in financial return volatility measurement and forecasting via use of realized variation measures constructed from high-frequency returns coupled with simple modeling procedures. Building on recent theoretical results in...

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such non-linear...

The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor (x_t) is given, in the univariate case, by a Gaussian AR(p) process, and, in the multivariate case, by a Gaussian n-dimensional VAR(p) process. The factor (x_t) is considered...

Investors often consider Sharpe ratios when making portfolio decisions. Given sampling error in estimated means and variances of returns, simplistic use of Sharpe ratios when choosing between portfolios is extremely ill-advised. In practice, the error in the estimate of the Sharpe ratio will...

This paper adds to the literature a study on the time-varying beta risk of the New Zealand industry portfolios. The previous analyses of three major modelling techniques are extended to include the stochastic volatility model and the Schwert and Seguin approach based on the stochastic volatility...

This paper develops an econometric framework for i) estimating excess returns of the security process from high frequency derivative prices, ii) testing for risk-neutral pricing and iii) measuring premiums outside the no-arbitrage pricing model. The estimator is constructed by applying...

In finance, there is growing interest in quantile regression with the particular focus on value at risk and copula models. In this paper, we first present a general interpretation of quantile regression in the financial market. We then explore the full distributional impact of factors on returns...

Recent empirical studies have demonstrated long-memory in the signs of orders to buy or sell in financial markets. We show how this can be caused by delays in market clearing. Under the common practice of order splitting, large orders are broken up into pieces and executed incrementally. If the...