This dissertation employs high-frequency data and techniques to examine various topics in financial markets. Chapter 1 compares forward regression model with eight statistical/practical trading exchange rate models in terms of forecasting foreign exchange rates. Superior forecast power of the...

Motivated by a consumption-based asset pricing model, this paper checks the time horizon sensitivity of the forward premium puzzle from 1994 to 2004. The in-sample estimation shows that the longer the time horizon (up to 1 year), the more the future spot exchange return deviates from its...

This paper examines the gains of using high-frequency data in detecting volatility spillovers, risk hedging, and asset allocation. In particular, a realized covariation method based on intra-day US and Japan index funds data is compared with a bi-variate GARCH method based on the same data...

Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style Managed Futures strategies. While largely capturing the returns of the Managed Futures industry, those simple strategies may periodically suffer significant losses due to...