We explicitly examine the role of culture in corporate takeover decisions. Prior research suggests that the risk aversion of CEOs affects their takeover decisions. In this paper, we argue that managerial risk aversion at a national level is a cultural trait and affects the net synergies. CEOs of...

It is a well known fact that at high sampling frequencies, the contamination of microstructure noise causes the Realized Variance to be a biased measure of the Integrated Variance. Recent developments in this field propose sampling on lower frequencies, sub-sampling techniques, or bias...

The current paper proposes a conditional volatility model with time varying coefficients based on a multinomial switching mechanism. By giving more weight to either the persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure,...

This paper develops and tests a heterogeneous agents model for the option market. Contrary to the common practice in the heterogeneous agents literature of modeling the level process, we introduce heterogeneity and switching in the variance process of the stock market. The market consists of two...

The current paper proposes a conditional volatility model with time varying coefficients based on a multinomial switching mechanism. By giving more weight to either the persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure,...

The literature on agent-based models has been highly successful in replicating many stylized facts of financial and macroeconomic time series. Over the past decade, however, also advances in the estimation of such models have been made. Due to the inherent heterogeneity of agents and...