In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...

Marshall's student Pigou noted: It's all in Marshall. From a static point of view, this seems rather bold in a constantly changing world. However, this statement becomes more plausible in a dynamic context, where principles are subject to change. Indeed, over time, Marshall's concept of external...

This paper takes a different perspective toward the escape entry incentive of incumbent firms to innovate. New entrants spawned from incumbents are not necessarily a threat; they can complement incumbents' production by commercializing knowledge incumbents are not willing or able to exploit....

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. Bid and ask returns are decomposed into a common ('efficient return') factor and two market-side-specific components...

This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

When making decisions, agents tend to make use of decisions others have made in similar situations. Ignoring this behavior in empirical models can be interpreted as a problem of omitted variables and may seriously bias parameter estimates and harm inference. We suggest a possibility of...

The recent availability of large data sets covering single transactions on financial markets has created a new branch of econometrics which has opened up a new door of looking at the microstructure of financial markets and its dynamics. The specific nature of transaction data such as the...

This paper investigates the time between transactions on financial markets. It is assumed that the interval between transactions is a random variable and the relation- ship between the probability to observe a transaction at each instant of time and the type of the previous trade is...