We document significant intra-year seasonality in outliers of S&P500 daily rates of return. Controlling for outliers in dummy regressions reveals that both the January and Monday effects turn from insignificant to highly significant. Mean daily return on January doubles and becomes significantly...

We document significant intra-year and less significant intra-week seasonality in outliers of Samp;P500 daily returns. Controlling for outliers in dummy regressions reveals that 1) Monday's mean returns turn from insignificantly to significantly positive and insignificantly higher than all...

This study proposes a more robust estimation of the implied volatility in the FX market, offers a possible explanation to the observed quot;smilequot; in implied volatilities based on a quot;clientele effectquot;, and tests the predictability of future volatilities in the FX market. We employ...

We estimate post-jump volatility-decay risk premia as the predictable ‎difference between periods of high and low diffusive volatility. By ‎constructing straddle portfolios after positive and negative jumps occur, we ‎show that the gains that these hedged options' portfolios yield...