We propose a novel estimator for the amount of international risk sharing that depends exclusively on asset returns data. In particular, our estimator has a nonparametric flavor in that it makes no parametric assumption on preferences and on the stochastic process that governs the dynamics of...

This paper develops a framework to nonparametrically test whether discretevalued irregularly-spaced financial transactions data follow a Markov process. For that purpose, we consider a specific optional sampling in which a continuous-time Markov process is observed only when it crosses some...

Agents usually use a discrete set of prices to alleviate transaction costs for it reduces the bargaining time by reducing the amount of information that parties must exchange. On the other hand, if the discrete price set does not include an acceptable price for both parties, then some...

This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the Satilde;o Paulo...

This article investigates the impact of price limits on the Brazilian futures markets using high frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock...

We extend the standard price discovery analysis to estimate the information share of dual-class shares across domestic and foreign markets. By examining both common and preferred shares, we aim to extract information not only about the fundamental value of the firm, but also about the dual-class...

This paper deals with the estimation and testing of conditional duration models by looking at the density and hazard rate functions. More precisely, we focus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate....

This paper derives both lower and upper bounds for the probability distribution function of stationary ACD(p,q) processes. For the purpose of illustration, I specialize the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than...