My dissertation consists of three essays, which cover topics in theoretical and empirical finance. In the first essay titled "the skewness premium and the asymmetric volatility puzzle," we use a general equilibrium model to study the source and reward of asymmetric volatility or skewness of...

This dissertation studies topics in capital markets from the perspectives of financial econometrics and empirical finance. It consists of three essays, each corresponding to one chapter. In the first chapter, we analyze whether the systematic asymmetry factor, proxied by skewness of the market,...

Using a new dataset consisting of six years of real-time exchange rate quotations, macroeconomicexpectations, and macroeconomic realizations (announcements), we characterize the conditional means of U.S. dollar spot exchange rates versus German Mark, British Pound, Japanese Yen, Swiss Franc, and...

We provide a general framework for integration of high-frequency intraday data into the measurement, modeling, and forecasting of daily and lower frequency return volatilities and return distributions. Mostprocedures for modeling and forecasting financial asset return volatilities, correlations,...