We propose two nonparametric specification tests for continuous-time models based on transition density, which unlike the marginal density used in the literature, can capture the full dynamics of a continuous-time process. To improve the finite sample performance of nonparametric methods, we...

We characterize the dynamics of the U.S. short-term interest rate using a Markov regime switching model. Using a test developed by Garcia (1998), we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it...

We have developed Bayesian Markov chain Monte Carlo (MCMC) methods for inferences of continuous-time models with stochastic volatility and infinite-activity Leacute;vy jumps using discretely sampled data. Simulation studies show that (i) our methods provide accurate joint identification of...

We develop a systematic approach for evaluating asset pricing models based on the second Hansen-Jagannathan distance (HJD), which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our approach includes a specification test and a sequence of...

Using a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in generating...

Using a large sample of hedge fund manager characteristics, we provide one of the first comprehensive studies on the impact of manager characteristics, such as education and career concern, on hedge fund performances. We document differential ability among hedge fund managers in generating...

With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst...

We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach both extends the...

We develop a reduced-form approach for valuing callable corporate bonds by characterizing the call probability via an intensity process. Asymmetric information and market frictions justify the existence of a call-arrival intensity from the market's perspective. Our approach extends the...

With the adoption of Regulation Fair Disclosure (Reg FD), market behavior around earnings releases displays no significant change in return volatility (after controlling for decimalization of stock trading) but significant increases in trading volume due to difference in opinion. Analyst...